CDX IG CDS Index Roll Premium Calculator

Calculate the roll cost and carry from rolling a CDX IG or iTraxx position from on-the-run to off-the-run series. Accounts for spread change, DV01 difference, and accrued premium.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Calculate the roll cost and carry from rolling a CDX IG or iTraxx position from on-the-run to off-the-run series. Accounts for spread change, DV01 difference, and accrued premium

Each component has a specific meaning:

  • Rolling a CDX IG or iTraxx position from on-the-run — The rolling a cdx ig or itraxx position from on-the-run recorded for the scenario being assessed.

Note: Interpret the cdx roll premium result against the thresholds and context described above.

How to Use

Enter the rolling a CDX IG or iTraxx position from on-the-run for the scenario you are assessing. Calculate the roll cost and carry from rolling a CDX IG or iTraxx position from on-the-run to off-the-run series. Accounts for spread change, DV01 difference, and accrued premium. Use the cdx roll premium result to inform your calculation.

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Frequently Asked Questions