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