Mastering Attribution in Finance

10

Sovereign curve attribution

10.1 Introduction

10.2 Yield curve models

10.3 Parallel shift and modified duration, and why they matter

10.4 Measuring twist

10.5 Taxonomy of curve shifts

10.6 Sources of yield curve data

10.1 INTRODUCTION

This chapter describes some of the more common ways in which movements in risk-free curves are described and measured.

Virtually every fixed income security traded in the marketplace has its price affected to varying degrees by its associated risk-free curve, so changes in the level and shape of this curve form an important source of return for fixed income portfolios. Many investment strategies are framed entirely in terms of such movements.

The previous chapter described how changes in a security’s yield ...