Description | Link |
Whether to calculate roll-down returns | RollDownAttribution |
Whether to calculate paydown returns | PaydownAttribution |
Whether to calculate convexity returns | ConvexityAttribution |
Whether to calculate security-specific returns | SecuritySpecificAttribution |
Whether to calculate spread returns | SpreadAttribution |
Whether to combine multiple spread returns from different curves into one | AddSpreads |
Selected model for carry return decomposition | CarryDecomposition |
Selected model for sovereign curve decomposition | SovereignCurveDecomposition |
Model to used for averaging sovereign curve movments | AverageCurveLevel |
Whether to use DTS (duration times spread) attribution | DTS |
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