Carry & roll-down calculator

What a position earns if the curve stands still.

Interactive: carry & roll-downMedium

The bond desk's favourite piece of arithmetic: what a position earns if the curve simply stays where it is.

Bond yield today (e.g. 5y) % Yield one year shorter (e.g. 4y) % Duration after 1y (years)

Carry (yield): —
Roll-down gain: —
Total (curve unchanged): —
Rate-rise cushion: —

The cushion converts the total into basis points of yield rise the position can absorb in a year before losing money. Carry-and-roll is why steep curves make bond desks cheerful — and why flat curves make them trade curve shape instead.

The idea behind it

This calculator belongs to The Yield Curve, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.

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Not advice. This explains how something works; it is not a recommendation, and nothing here is tailored to you. You can lose everything you put in — with leveraged instruments, considerably more. StrikeAndYield is not a regulated firm and provides no financial services.

The same in full — six points, and why each one matters

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Nothing here is tailored to you. This is written for a general audience. It does not consider your objectives, financial situation, knowledge, time horizon or tolerance for loss.
The examples are simplified. Worked examples use round numbers and leave out costs, spreads, taxes, collateral, settlement and market conventions that materially change real outcomes.
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