Prevent Truncation of Duration Input Values

Performance System Parameter 29, Truncate Pivot Point Duration in Days to integer, allows you to remove a rounding inaccuracy in calculating the Fixed Income Attribution Pivot Point's yield change in Global Attribution analysis. Options include:

• 0, maintains the full float precision to remove an unnecessary source of reduced precision noise in the calculations of the yields used to calculate the yield change. Provides greater accuracy.

• 1, truncates the duration input value used to look up the yield from the yield curve to a full day integer value. This option provides backwards compatibility.

The default value is 0. Eagle recommends that you use the default value of 0 to remove the rounding inaccuracy.