$25.00
We introduce a new methodology for yield curve attribution based on empirical techniques. Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities.
Author: Maria de Sousa Vieira, Ph.D.
Description
We introduce a new methodology for yield curve attribution based on empirical techniques. Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities. Then via minimization processes we find the movements of the yield curve of the beginning date that best explain the return for those securities.
Related products
-
A Case for Fixed Income Holdings-Based Attribution: Techniques for Achieving Cleaner Results
$25.00 Add to cart -
A Fully Geometric Approach to Performance Attribution
$25.00 Add to cart -
A Hierarchy of Methods for Calculating Rates of Return
$25.00 Add to cart -
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart