Yield curve report
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Yield curve report

The yield curve report shows how yield curves change over time, when decomposed using the same schema as your attribution settings.

To generate a set of yield curve reports, enter 

CurveReport=1

in the configuration file.

FIA will generate two curve reports for each yield curve in use

  • by date, then risk factor
  • by risk factor, then date.
Curve movements decomposed by date, then by risk (shift, twist, curvature)
Curve movements decomposed by date, then by risk (shift, twist, curvature)
Curve movements decomposed by risk (shift, twist, curvature), then by date
Curve movements decomposed by risk (shift, twist, curvature), then by date