Fixed Income Attribution.

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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
Call Number:Libro Electrónico
Main Author: Colin, Andrew
Format: Electronic eBook
Language:Inglés
Published: Chichester : John Wiley & Sons, 2005.
Subjects:
Fixed-income securities.
Portfolio management.
Rate of return.
Gestion de portefeuille.
Taux de rendement.
Fixed-income securities
Portfolio management
Rate of return
Online Access:Texto completo
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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