Invoice price, basis and carry calculator

In short

Carry, financing and the cheapest to deliver.

Interactive: invoice price, basis and carryHard

Futures price Conversion factor Bond clean price Accrued interest Bond coupon % Repo rate % Days to delivery

Invoice price: —
Gross basis: —
Coupon income: —
Repo financing: —
Net basis: —
Reading: —

Carry is coupon income minus financing. When the curve is inverted — repo above the coupon — carry turns negative and the basis widens for reasons that have nothing to do with the bond being cheap. Raise the repo rate above the coupon and watch it happen. See the bond future and repo pages.

The idea behind it

This calculator belongs to Curve Construction & Bond Math, 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.
The models are teaching models. Formulas shown are standard textbook formulations. Institutions add calibration, live market data and credit, funding and capital adjustments — nothing here will reproduce a dealer’s quote or produce a valuation you can rely on.
These instruments carry risk. You can lose your entire investment. Leveraged instruments — futures, options, CFDs, perpetual futures and similar — can cost you considerably more than you originally deposited.
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