Carry
Subtype of Job RequestThe carry C of the referenced tradable observed at the given spot date (denoted as 0) wrt a maturity equal to the given horizon date T specified in Horizon Date
Web blog example here
It is also part of the PnL Explain table PnLExplain Table that is produced in association with the key PnL Explain when a tradable is priced with the Advanced Pricing model input.
By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the As Of entry to the function Price exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of Advanced Pricing
Precisely, C represents an amount regarded as received at T and defined as the sum of the present values as of T of the tradable's cash flows CFᵢ occurring between 0 (excluded) and T (included).
Formally:
C = (1/P)Σ(CFᵢPᵢ)
where:
CFᵢ are all forecasted cash flows occurring at times Tᵢ such as 0 < Tᵢ <= T, as implied by the market information available at 0
Pᵢ are the respective discount factors, i.e. the discount factors seen at 0 with maturities Tᵢ
P is the funding discount factor seen at 0 with maturity T, as implied by the curve associated with the issuer supplied in Fund Crv Issuer
In words, all cash flows CFᵢ are discounted down to 0 and then their sum Σ(CFᵢPᵢ) is compounded forward to T using the discount factor P
One may also define an equivalent carry amount that is assumed to be payable at 0 and be equal to the product C*P = Σ(CFᵢPᵢ)
Apart from an exception mentioned below, all floating rates are assumed equal to their forecast forward values observed at 0
The cash flows occurring on the horizon date are included only if Trade Date CFs is set to TRUE
If the threshold date Tᵣ for assumed known fixings is specified in Fxd Resets Before, all floating rate fixings before Tᵣ are not implied by the provided curves but rather read from a supplied object of type Historical Values