Roll down and Carry for 2/5

C

Cyrix

Hi,

I am trying to get a simple formula to calculate a ballpark cost for a 2/5 flattener. Could you guys take a quick look to see if this is ok?

My formula is

Roll down = 4*(5yield-4yield) – (5/2)*1*(2yield-1yield)
Carry = 5yield-(5/2)*2yield


[5yield means 5 year treasury yield and same for others]

Then I sum up the two. I just need to get an approximate number assuming YC doesn't change for a year. Are the formulas correct?
 
Quote from Cyrix:

Then I sum up the two. I just need to get an approximate number assuming YC doesn't change for a year. Are the formulas correct?
More...
No... I responded to you on the other forum.
 
Just as an update for those who replied here and Wilmott, especial thanks to Martinghaul.

I would like to close this 2/5 flattener trade and I am opening a 10/30 flattener.
 
Quote from Cyrix:
Just as an update for those who replied here and Wilmott, especial thanks to Martinghaul.

I would like to close this 2/5 flattener trade and I am opening a 10/30 flattener.
More...
I hope you managed to get some on, Cyrix...
 
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