Specify a Duration
- Tom Fahey (Unlicensed)
Suppose you want to specify a Duration. Click the text box to the right of the Duration in the Fields column. The system displays the Field Selector dialog box. See the following figure.
The Analytics folder on the Field Map Selector dialog box points to possible fields containing the security level constituent details for the portfolio. These fields map to the data columns in the ANALYTICS table in the SECURITY database.
The Performance folder on the Field Map Selector dialog box points to possible fields containing the segment level constituent details for the portfolio. These fields map to the data columns in the PERF_SEC_RETURNS table in the PERFORM database.
Specify the duration for the portfolio and click Next to specify the duration for the benchmark. The system displays the Benchmark Duration Fields tab. See the following figure.
The Analytics folder on the Field Map Selector dialog box points to possible fields containing the security level constituent details for the benchmark. These fields map to the data columns in the ANALYTICS table in the SECURITY database.
The Performance folder on the Field Map Selector dialog box points to possible fields containing the segment level constituent details for the benchmark. These fields map to the data columns in the PERF_SEC_RETURNS table in the PERFORM database.
Specify the duration for the benchmark and click Finish. The Creating Global Attribution Group dialog box reappears.
Note that you can specify optional inputs for additional bond return components using the Optional Fields tab. See Specifying Optional Fields Such as Par Value, Coupon, and Convexity for details.