Specify a Key Rate Duration
- Tom Fahey (Unlicensed)
Suppose you want to specify the Key Rate Duration instead of the Duration. You must select the Key Rate Duration check box in the Options tab so that the section can appear where you enter key rate duration points in the Portfolio Duration Fields tab and the Benchmark Duration Fields tab. Click the text box to the right of the Field 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 first duration point for the key rate duration for the portfolio and the column that contains the key rate duration. Repeat these steps for each of the key rate duration points. Click Next to specify the key rate 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 first duration point for the key rate duration for the benchmark and the column that contains the key rate duration. Repeat these steps for each of the key rate duration points and click Finish. The Creating Global Attribution Group dialog box reappears.