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Mastering Attribution in Finance by Andrew Colin

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16

Money market securities

16.1 Introduction

16.2 Money market yield curves

16.3 Money market curve decomposition

16.4 Cash

16.5 Bank bills and discount securities

16.6 Accrual securities

16.7 Floating rate notes

16.8 Interest rate and credit risk

16.9 FRN types

16.10 Yields and discount margins

16.11 FRN durations

16.12 Decomposing the return of an FRN

16.13 Yield curve attribution

16.14 Attribution with complete data

16.15 Attribution with incomplete data

16.16 Treatment of FRNs in commercial systems

16.17 FRNs and securitisation

16.18 Currency forwards

16.19 Repurchase agreements (repos)

16.20 Money market benchmarks

16.1 INTRODUCTION

This chapter covers attribution techniques for securities with maturities of less than a year, the prices ...

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