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