Carry trade σε σταθερό εισόδημα. Μια θεωρητική προοπτική
View/
Keywords
Carry trade ; Ομόλογα ; Καμπύλη απόδοσης ; Τιμολόγηση ; Κλίση ; Κύλιση προς τα κάτωAbstract
The aim of this document which entitled "Carry Trade in fixed income. A theoretical perspective" is the exploration and recording of the implementation of carry trade in fixed incomes, under a mathematical prospect. First, we present the basic elements of bonds which are necessary for the implementation of carry, special reference is made to the zero-coupon bonds. Next, we proceed to the analysis of carry, we present a general formula which we can used to calculate the carry of any asset. Then, we present the formula for calculating the carry on the bonds and conclude that the carry on bonds can be analyzed in two factors, the slope and the roll-down on bond yield curve, then we quote an example of a zero-coupon bond. Next, we refer to the repurchase agreements and we quote the formula for the calculation of carry. Finally, we list some strategies that contain repurchase agreements and various positions in the bond market which the carry is achieved.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στις Χρηματοδοτήσεις και Επενδύσεις - Finance and InvestmentsDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
55Language
Greek
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού 3.0 Ελλάδα
Αναφορά Δημιουργού 3.0 Ελλάδα