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Home» Product » A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution

A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution

Posted by admin - May 14, 2014 -
0
Performance Measurement

$25.00

This paper presents a new decomposition algorithm that is robust and straightforward to understand, and that
does not have the drawbacks of existing techniques.

Authors: Andrew Colin Ph.D., Matthew Cubilie and Frederic Bardoux

SKU: Summer200610-4-2 Category: Articles Tags: article, Fixed Income Attribution, Yield Curve Movements
  • Description

Description

This paper presents a new decomposition algorithm that is robust and straightforward to understand, and that does not have the drawbacks of existing techniques.

A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution

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