February 2016
Beginner
312 pages
5h 56m
English
Content preview from Mastering Attribution in Finance
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16
Money market securities
16.2 Money market yield curves
16.3 Money market curve decomposition
16.5 Bank bills and discount securities
16.8 Interest rate and credit risk
16.10 Yields and discount margins
16.12 Decomposing the return of an FRN
16.14 Attribution with complete data
16.15 Attribution with incomplete data
16.16 Treatment of FRNs in commercial systems
16.19 Repurchase agreements (repos)
16.1 INTRODUCTION
This chapter covers attribution techniques for securities with maturities of less than a year, the prices ...
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