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Bond performance attribution method and device

A bond and performance technology, applied in the field of data processing, can solve problems such as inaccurate performance attribution

Pending Publication Date: 2022-02-15
CCB FINTECH CO LTD
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

[0003] The current bond performance attribution based on the campisi model has the problem of inaccurate performance attribution

Method used

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  • Bond performance attribution method and device
  • Bond performance attribution method and device
  • Bond performance attribution method and device

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Embodiment Construction

[0043] Embodiments of the present application will be described in detail below in conjunction with the accompanying drawings.

[0044] The industry's model system for bond performance analysis is mainly based on the campisi model. Among them, the campisi model can split the income of bonds or bond portfolios into income effect, government bond effect and spread effect, and the income effect can be further divided into coupon effect and price convergence effect. The principle of the campisi model is to provide the full differential of the bond market value formula and then reconstruct each decomposition item. The essence is to linearly decompose the bond yield. However, yield to maturity, duration, and convexity are three important attributes of bonds. Campisi takes into account the first two attributes, but convexity is ignored.

[0045] Convexity measures the non-linear relationship between interest rate changes and price changes. Positive convexity brings investors the ben...

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Abstract

The invention relates to the technical field of data processing, provides a bond performance attribution method and device, and is used for solving the problem of inaccurate performance attribution in the prior art. According to the invention, the method comprises the steps of acquiring bond parameters and instant interest rate curve data of a position bond, the bond parameters of the position bond comprising convexity of the position bond; according to bond parameters of the position bond, the instant interest rate curve data and a performance attribution model, and obtaining attribution parameters corresponding to one or more attribution items of the position bond, wherein the one or more attribution items comprise a convexity effect; and according to the attribution parameters corresponding to the one or more attribution items, providing performance function analysis of the position bond for a user.

Description

technical field [0001] The present application relates to the technical field of data processing, in particular to a method and device for attribution of bond performance. Background technique [0002] The industry's model system for bond performance analysis is mainly based on the campisi model. Among them, the campisi model can split the income of bonds or bond portfolios into income effect, government bond effect and spread effect, and the income effect can be further divided into coupon effect and price convergence effect. The principle of the campisi model is to provide the full differential of the bond market value formula and then reconstruct each decomposition item. The essence is to linearly decompose the bond yield. [0003] The current bond performance attribution based on the campisi model has the problem of inaccurate performance attribution. Contents of the invention [0004] This application provides a method and device for attribution of bond performance,...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06
CPCG06Q40/06
Inventor 王政钟
Owner CCB FINTECH CO LTD
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