Clean Terms


Key Clean Terms of function
Carry in IRS refers to an optional boolean that sets the definition of the carry returned by the function Carry in either clean or dirty terms, as described below.
If omitted, the default is TRUE, which is how carry is commonly understood in most trading applications.

Clean Terms definition:
The constructed forward swap from the horizon date to maturity Tᵐ - as described in the function
Carry - is constructed in such a way that its first accrual period in each leg cannot start before
More specifically, if the corresponding period of the original swap started before , the new period is shortened so that it starts at
This means that the cash flow of that shortened period of the constructed swap will be smaller than the corresponding cash flow of the original swap.
This forward swap definition affects the calculated fair rate and thus the returned carry C

Dirty Terms definition:
The constructed forward swap from the horizon date to maturity Tᵐ - as described in the function
Carry - is constructed in such a way that its first accrual period in each leg coincides with the corresponding period of the original swap.
This means that the cash flows of the constructed swap after are the same with the corresponding cash flows of the original swap.
This forward swap definition affects the calculated fair rate and thus the returned carry C