Description
Separate roll value change and carry-plus-roll in a supplied unchanged-curve scenario.
Financial market terms depend on quote conventions, contract multipliers, rate units, horizons and signed positions. A price gap, intrinsic value or linear sensitivity is a limited scenario term rather than an executable price or complete valuation. Variance, volatility, fractional rates and basis points are different quantities.
Separate roll value change and carry-plus-roll in a supplied unchanged-curve scenario.
When to use this tool
Use Carry Roll Observation Pair when checking the stated supplied market, valuation or exposure convention.
How to use the tool and how it works
- Enter openingMarkedValue, endingUnchangedCurveValue, accruedCash. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read rollValueChange, carryAndRoll. Use the output convention below.
Return endingUnchangedCurveValue-openingMarkedValue as rollValueChange and add accruedCash for carryAndRoll.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| openingMarkedValue | Opening Marked Value | Required. Finite number. |
| endingUnchangedCurveValue | Ending Unchanged Curve Value | Required. Finite number. |
| accruedCash | Accrued Cash | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| rollValueChange | Roll Value Change | Required. Finite number. |
| carryAndRoll | Unchanged-curve ending value minus opening marked value plus accruedCash; not a realized or predicted total return. | Required. Finite number. |
{
"input": {
"openingMarkedValue": 100,
"endingUnchangedCurveValue": 99.5,
"accruedCash": 1.2
},
"output": {
"rollValueChange": -0.5,
"carryAndRoll": 0.7
}
}Limitations and assumptions
- Values share one currency/position basis; the unchanged-curve scenario and accrued cash are supplied, not a forecast or total return model.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use verified contract/market data and a complete suitable valuation and risk model with qualified financial advice for actual investment or trading decisions.
References
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