Fixed income attribution has additional data input requirements for bonds, including analytical data, such as yield and duration. A description of each data input follows.
Data Input | Database | Table | Description |
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Coupon | SECURITY or HOLDING | SECURITY_MASTER or POSITION_DETAIL | The interest rate paid by the bond in percent. See Specifying Optional Fields Such as Par Value, Coupon, and Convexity for details. This input is optional. |
Par Value | HOLDING | POSITION_DETAIL | The nominal or face value of the bond. It is only used to calculate the coupon and accretion or amortization yield return decomposition. See Specifying Optional Fields Such as Par Value, Coupon, and Convexity for details. This input is optional. |
Yield | SECURITY or
PERFORM | SECURITY_ANALYTICS or SECURITY_ANALYTICS_FI or PERF_SEC_RETURNS | The effective yield of the bond. For a bond: - Without embedded options, this input is the nominal annual yield.
- With embedded options, this is an option adjusted yield that is calculated consistently for all bonds being analyzed. This input is the result of an analytical process that evaluates the effective yield of the bond after the effects of bond optionality have been removed. All option adjusted yields, durations, and convexities should be calculated with a consistent analytical process.
This input is required.
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Yield Curve Identifier | SECURITY or
PERFORM | SECURITY_MASTER or
PERF_SEC_RETURNS | Identifies the risk-free yield curve code used to evaluate the bond. This input is required. |
Duration/Key Rate Duration | SECURITY or
PERFORM | SECURITY_ANALYTICS or SECURITY_ANALYTICS_FI or PERF_SEC_RETURNS | The effective duration of the bond. For a bond: - Without embedded options, this input is the standard duration.
- With embedded options, this is an option adjusted duration that is calculated consistently for all bonds being analyzed. This input is the result of an analytical process that evaluates the effective duration of the bond after the effects of bond optionality have been removed. All option adjusted yields, durations, and convexities should be calculated with a consistent analytical process.
You can supply Key Rate Durations (KRD) instead of standard duration for bonds.
This input is required.
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Convexity | SECURITY or
PERFORM | SECURITY_ANALYTICS or SECURITY_ANALYTICS_FI or PERF_SEC_RETURNS | The effective convexity of the bond. For a bond: - Without embedded options, this input is the standard convexity.
- With embedded options, this is an option adjusted convexity that is calculated consistently for all bonds being analyzed. This input is the result of an analytical process that evaluates the effective convexity of the bond after the effects of bond optionality have been removed. All option adjusted yields, durations, and convexities should be calculated with a consistent analytical process.
See Specifying Optional Fields Such as Par Value, Coupon, and Convexity for details. This input is optional.
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