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Great, that makes sense, thank you. I did not know that there was a German bond effect that needed to be smoothed. Do you know why this is? Is it some sort of "seasonality" effect that is unique to German bonds?

Hmm, so in this example, there are maybe 123 good data points to calculate carry between GBM Dec and March, and I get similar numbers: -5% average carry over those 123 days. Between March and June I have fewer good data points for the same date range, about 65. Averaging carry over that range is...

Hi GAT--love your book and journal. In the fan club. A question about the carry/rolldown calculation for bond futures, with an example using GMB Bobl futures on Eurex. The summary is that I'm getting wildly different carry estimates when I have to change the contracts in the carry calculation...