A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
$25
This paper presents a new decomposition algorithm that is robust and straightforward to understand, and that
does not have the drawbacks of existing techniques.
Authors: Andrew Colin Ph.D., Matthew Cubilie and Frederic Bardoux
This paper presents a new decomposition algorithm that is robust and straightforward to understand, and that does not have the drawbacks of existing techniques.
A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
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