Can someone explain to me conceptually how I would arrive at the 1yr or 2yr upfront carry for an IRS? I believe it should be, for a 10y swap, the NPV of the 1y9y swap.

<t>My assumption was that "yield curve" referred to the YTM curve, hence if the yield curve steepens 10y bonds don't necessarily move. It could be just the front end bonds moving. However, if they're referring to the zero/spot curve this would make a lot more sense. Is there any way to distinguish w...

<t>Hello,The following was taken from a primer on swap spreads from MS."In an upward sloping yield-curve environment, a high coupon bond normally has a lower modified duration than a low coupon bond. Taking an extreme example to illustrate the problem, consider the 4% and 11¼% Feb ’15 US Treasuries....