Fixed Income Attribution.

Fixed Income Attribution.

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information...

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Bibliographic Details
Main Author: Colin, Andrew
Format: eBook
Language:English
Published: Chichester : John Wiley & Sons, 2005.
Subjects:
Fixed-income securities.
Portfolio management.
Rate of return.
Fixed-income securities
Portfolio management
Rate of return
Online Access:Click for online access
Table of Contents:
  • Fixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; 1 Attribution in the Investment Process; 2 Calculation of Returns; 3 Simple Attribution; 4 Yield Curves in Attribution; 5 Interest Rate Risk and Portfolio Management; 6 Measuring Changes in Yield Curves; 7 Converting Yield Movements into Performance; 8 The Hierarchy of Fixed Income Returns; 9 Yield Return and Coupon Return; 10 Treasury Curve Return; 11 Roll Return; 12 Credit Return; 13 Optionality Return; 14 Asset Allocation Return; 15 Other Sources of Return; 16 Worked Examples.

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