Hi Jason,
I found your explanation of roll down here to be very interesting. I have a follow up question that I've been struggling with. Suppose I bought a 10yr bond at par on an upward sloping yield curve. In one year, I want to sell that bond. Thus it would now be a 9yr and I could reap the benefits of roll-down in this situation. However, if the yield curve has shifted up during this period, what is the true impact of the roll return? The roll helps to offset some of the capital loss, how do I know exactly what impact roll has made? Would it be the difference between the 10yr and 9yr bond on the original curve, or the difference between the 10yr and 9yr bond on the T+1 curve? The total return impact would be the difference between the 10yr price on the original curve and the 9yr price on the T+1 curve, but I'm struggling with how I'd know just how much of that was driven by roll.