Fixed income attribution also requires beginning and ending yield curve data inputs for all of the analysis periods. Risk-free yield curve data inputs must be loaded into the YIELD_CURVE and YIELD_CURVE_DETAIL tables in the SECURITY database for each of the distinct yield curve codes pointed to by the bond security records or the entity details. A description of each data input follows.
Data Input | Database | Table | Description |
|---|---|---|---|
Yield Curve Identifier | SECURITY | YIELD_CURVE | An internal instance field used to distinguish between yield curve records. It is unique for a given yield curve on a given effective date. Multiple yield curves can exist for the same effective date. Logically, the system will have one risk-free curve per date for each of the currencies. This input is required. |
Source Interface Instance | SECURITY | YIELD_CURVE | An internal instance field used to identify the source of the yield curve data. This input is required and defaults to 4 (Eagle PACE.) |
Risk-Free Yield Curve Identifier | SECURITY | YIELD_CURVE | An identifier for the risk-free yield curve, which is used to evaluate the bond. It is also contained on the bond being evaluated. Used to link up to the appropriate yield curve in this table. This input is required. |
Effective Date | SECURITY | YIELD_CURVE | The date on which the yield curve identifier is valid. This input is required. |
Updated Date | SECURITY | YIELD_CURVE | The date the record is updated in the database. This input is required. |
Update Source | SECURITY | YIELD_CURVE | The source that is used to update the database. This input is required. |
Maturity Date | SECURITY | YIELD_CURVE_DETAIL | The date that the face value of the bond must be repaid. This input is required. |
Par Yield | SECURITY | YIELD_CURVE_DETAIL | The yield for the given maturity in percent. This input is required. |
Par Duration | SECURITY | YIELD_CURVE_DETAIL | The duration in years for the given maturity. This input is required. |
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Fixed Income attribution processing supports multiple sources of yield curves. It uses the first source in the Source Rule as the yield curve source. If no source is defined, it uses Eagle PACE by default. If more than one source is defined, it uses the first source, and a warning is written to the Diagnostics tab to inform you that only one source is supported. |