In this chapter I describe a number of widely used fixed income attribution models. Attribution approaches are often described in terms of one or other of these models.
The Campisi model was first proposed in a paper published by Stephen Campisi (Campisi, 2000). It is perhaps the simplest possible security-level model for fixed income attribution (see Figure 23.1).
Figure 23.1 Breakdown of effects in the Campisi model
The Campisi model can be applied at the portfolio, ...