Workspace /B4 Scenario and Horizon Return
B4

Scenario and Horizon Return

What a bond earns to a horizon date if the curve and its spread move, split into income, roll-down, curve change and spread change.

Learning focus: how much of a return comes from carry and roll-down rather than rate moves, and how curve shape changes hit different bonds.

Bond
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Horizon

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Scenario

Shifts in basis points at each key, interpolated between them. Edit any to build your own.

bp

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