3-month LIBOR
accrual instrument
accrual securities
accrued interest
accurate intraday contributions
active carry
active return
additive aggregation
allocation returns, 2nd
American option
amortising bond, 2nd, 3rd
amortising security
annual compounding
annual coupon, 2nd
arithmetic compounding
arithmetic smoothing
asset allocation, 2nd, 3rd, 4th, 5th, 6th, 7th, 8th
attribution
on bond futures, 2nd
break-even yields in
with complete data
on credit portfolios
equity
on Euro bond portfolios
fixed income
with incomplete data
multiple levels of
portfolios
return and
risk, types of
securities and
on securitised debt
strategy tagging and
types of
Australian bond futures
balanced attribution, 2nd
bank bill future
bank bills, 2nd
bank rate
barbell strategy
base currency return
base rate
base return, 2nd
base and return premiums
basis
basis swap
basis trading
BEIR see break-even inflation rate
benchmark, 2nd, 3rd
Bermudan option
bond, 2nd
bond futures, 2nd
risk numbers, sensitivity to
bond futures contracts, 2nd
bond pricing formulae
bond yield
bonds, 2nd
maturities
modified duration of
pricing
return of
types of
bond’s market return
bootstrapping
bottom-up attribution models, 2nd
‘bottom-up’ investment process
break-even inflation rate (BEIR)
break-even yields, 2nd
Brinson attribution, 2nd, 3rd
asset allocation
bottom-up attribution
Brinson risks, hedging
hedged portfolio
sector classification
single-level
stock selection
successive portfolio attribution
top-down attribution
Brinson expression
Brinson, Gary
Brinson-Fachler model, 2nd, 3rd, 4th
Brinson-Hood-Beebower model, 2nd
bullet payment, 2nd
bullet security
business as usual
butterfly
calendar returns
call date
callable bond, 2nd, 3rd, 4th, 5th
callable FRN
Campisi model
Canadian model
capped FRN
Carino, D.,
Carino smoothing
carry, 2nd, 3rd
carry returns, 2nd, 3rd, 4th, 5th, 6th, 7th, 8th
carry-based investment strategies
decomposed, 2nd
carry-based investment strategies
cash
cash and carry
cash drag
cash flows
cash flow structure
cash offsets
CDO see collateralised debt obligation
CDS see credit default swaps
central banks
cheap/dear effects
cheapest to deliver (CTD), 2nd, 3rd, 4th
classification structure
CMOs see collateralised mortgage obligations
Colin-Cubilié-Bardoux attribution
collateralised debt obligation (CDO)
collateralised mortgage obligations (CMOs)
compliance
composite benchmark
compounded returns
compounding interval
Consumer Price Index (CPI)
continuous compounding, 2nd, 3rd
contracts
conversion factor
convexity, 2nd
effects
and price
trading
corporate bond, 2nd, 3rd, 5th
counterparty, 2nd, 3rd
coupon reset interval
coupons
CPI see Consumer Price Index
credit attribution
credit carry return
credit curves
credit default swaps (CDS)
credit effects
credit event
credit ratings
credit return, 2nd, 3rd
credit risk
credit spread return
credit spreads, 2nd
creditworthiness, 2nd
cross terms
CTD see cheapest to deliver
cubic interpolation
currency attribution
base currency return
forwards contract
hedge returns, measuring
hedging and risk
Karnosky-Singer attribution model
local currency return
naïve attribution, hedged portfolio
portfolio hedging
unhedged portfolios
currency exposures, 2nd
currency forward
currency futures contract
currency option
currency risk, 2nd
currency swap
current/running yield, 2nd
curvature
curve flattening trade
curve movement
curve return, 2nd, 3rd, 4th
curve shifts taxonomy
duration and curvature
key rate duration returns
no sovereign curve effects
principal component analysis
shift, twist and curvature
undecomposed curve return
curve twist
data vendors
date
debt restructuring agreement
default, 2nd, 3rd
delivery, 2nd
deposit yield
derivative
dimensionality reduction
dirty price
discount margins
discount securities
discount yields
discounted cash flows
dividend, 2nd, 3rd
duration allocation
duration allocation return
duration allocation risk
duration asset allocation
duration attribution
duration matched treasury
duration options
duration returns, 2nd
duration risk
duration stock selection return
duration weight
duration-based asset allocation
duration-weighted yields
effective exposure
embedded call
embedded option, 2nd
embedded put
equity attribution
basic concepts
Brinson attribution
multiple-level asset allocation
off-benchmark securities
security-level attribution
successive portfolio attribution
equity attribution models
Euro bond portfolios
attribution with country curves
attribution without country curves
Eurobond
Eurodollar future
European option
Excel
exchange rate risk
existing portfolios
expiration date
face value
factor analysis
Fed Funds rate, 2nd, 3rd
Fisher equation, 2nd
fixed income attribution, 2nd
fixed income effects
fixed income returns
fixed income risks
bond
bond yield
carry return
credit effects
maturities and
prices and yields
pricing conventions
fixed income securities
fixed-coupon bonds, 2nd, 3rd
flat yield curve
flattening
floating rate note (FRN), 2nd
decomposing
durations
explicit pricing of
and securitisation
treatment of, in commercial systems
types
floored FRN
foreign exchange return
forwards, 2nd
forwards contract
fractional hedging
frequency of compounding
FRN see floating rate note
fundamental attribution equation
futures basis
futures contracts
fixed income securities and
futures margin
futures offset
FX exposure
General Index of Retail Prices (RPI)
geometric aggregation
geometric compounding
geometric smoothing
government bonds
government debt
hedge
hedge position
hedged benchmark
hedged portfolio
Brinson attribution
naïve attribution
hedging, 2nd, 3rd
heuristics
highly leveraged securities
high-yield portfolio
hybrid models
immunisation
implied inflation curve
income return, 2nd
inflation, 2nd, 3rd, 4th
inflation carry
inflation carry return
inflation data
inflation rate, 2nd
inflation ratios
inflation swaps
inflation term structure
inflation-linked bond, 2nd
inflation-linked bond market
inflation-linked debt
inflation-linked gilts
inflation-linked securities, 2nd
interaction, 2nd
interest rate duration
interest rate exposure
interest rate future
interest rate risk
interest rate sensitivity
interest rate swap future
interest rates, 2nd
interpolation
intraday performance
inverse repo rate
inverted yield curve
investment strategy, 2nd
issuer-specific return
junior tranche
junk bonds
Karnosky-Singer attribution model, 2nd
key rate attribution
key rate duration (KRD) returns
first principles
perturbational
key rates
LDI see liability-driven investment
letter of credit
leverage
liability-driven investment (LDI)
LIBOR
linear interpolation
linker
liquidity, 2nd, 3rd, 4th
liquidity return
local currency return
lower-level asset allocation returns
managed fund
market direction effect
market direction return
market exposure
market interest rate
market noise
market price
market return
market value attribution
market weight attribution
maturity, 2nd
maturity date, 2nd
MBS see mortgage-backed security
mezzanine tranche
mixed attribution
modelling swaps
modern portfolio theory
modified duration
money market
money market benchmarks
money market curve decomposition
money market securities
money market yield curves
money-weighted return
Monte Carlo simulation
mortgage
mortgage-backed security (MBS), 2nd
multiple-level asset allocation returns
muni bond
NAV see Net Asset Value
negative convexity
negative interest rate
negative real yield
Nelson-Siegel function
nested duration allocation
Net Asset Value (NAV)
net present value
New Zealand bond futures
noise
nominal yield, 2nd
non-bond securities
non-parallel shift
non-zero price return
notional cash
OAD see option-adjusted duration
OAS see option-adjusted spread
off the run
off-benchmark securities
on the run
option-adjusted duration (OAD)
option-adjusted spread (OAS)
option-adjusted spread (OAS) curve
optionality, 2nd, 3rd
overnight rate
over-the-counter (OTC) instruments
par
par curve, 2nd
parallel movement, 2nd
parallel shift
parallel shift, yield curve
parametric curve modelling
pass-through security
paydown return
payment frequency
performance
performance contribution, 2nd, 3rd, 4th
performance measurement
active return and
benchmark and
cash flows and
cash offsets and
compounded returns and
edge cases and
external returns and
liability-driven investment and
money-weighted return and
portfolio returns and, 2nd
return concept and
sector returns and
security transactions and
stochastic attribution and
time-weighted return and
periodic interest rate
perpetual bond
perturbational equation
portfolio returns, 2nd
portfolios
pragmatism
prepayment models
prepayments
presentation
price return
pricing
pricing conventions
pricing formula
pricing securities
principal
principal component analysis (PCA)
probability-weighted price
profit and loss
promissory note
PSA see Public Securities Association
Public Securities Association (PSA)
pull-to-par effect
pull-to-par return
pull-to-parity effect
purchasing power
puttable bonds
rate of return, 2nd, 3rd
raw pricing functions
real yield
real yield curve
real yield term structure
redemption date
redemption yield
re-hedging algorithm
reinvestment risk
repayment of principal
repo, 2nd, 3rd
repo agreement, 2nd
repo effects
repo rate, 2nd
reset date
reset margin, 2nd
residual return
residuals, 2nd
return, concept of
return contribution
return premium
revaluation, 2nd
reverse FRN
reverse repo
riding the yield curve
risk
risk data
risk numbers
risk-free carry return
risk-free curve
risk-free yield
rolldown
rolldown return
rolling over
RPI see General Index of Retail Prices
running/current yield, 2nd
sector carry return
sector classification
sector, concept of
sector curve allocation
sector curve return
sector curves, 2nd, 3rd
attribution returns and
constraints, on shape
option-adjusted spread (OAS)
sector returns, 2nd
sector weights
securitisation
securitised debt
security spread curve
security transactions
security-level attribution
asset allocation, multiple levels of
Brinson model
stock selection and interaction terms, combined
security-specific carry return
selection return
selection/security-specific return
semi-annual coupon
semi-government bonds
senior tranche
sensitivity measure
shift return
shift/twist/butterfly (STB) analysis
simple margin
simple yield
single fixed income security
single-leg swaps
single-level asset allocation returns
single-level Brinson attribution
Brinson-Fachler model, 2nd
Brinson-Hood-Beebower model, 2nd
interaction return
smoothing algorithms
Carino smoothing
cross terms
foreign exchange return
geometric smoothing
internally consistent return contributions
path-independence
sovereign bond
sovereign curve attribution
sovereign curve risk
sovereign debt, 2nd
spline model
spot curve
spread duration
spread duration, interest rate sensitivity
spread effect
spread return
squeeze
stand-alone portfolios
steepening
stepped FRN
stochastic attribution
stock selection
stock selection returns, 2nd
strategy tagging
successive portfolio attribution
swap curve
swap leg
swaps
modelling
single-leg
two-leg
types of
swing return
tax effects
term structure
theoretical price, of bond future
Tim Lord model
time-weighted return and
top-down attribution
top-down investment process
top-level asset allocation returns
total return swap
trading return
treasury bond yields
treasury effect
twist return
two-leg swaps
unattributed return
unhedged portfolios
Karnosky-Singer attribution
vanilla bond, 2nd
variable rate note
yield to call
yield curve attribution
yield curve data, 2nd
yield curve models
yield curves, 2nd
credit spreads
interest rates and
interpolation and
non-parallel shift
par curves
parallel movements in
zero curves
yield data
yield to maturity (YTM)
in attribution reports
an inflation-linked bond
pros and cons of
yield to put
yield to worst
yields, 2nd
current, or running yield
measure for attribution
nominal yield
for non-bond securities
simple yield
types of
yield to maturity
zero coupon bonds, 2nd
zero curves
zero-coupon sector curves
