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
View PDF0 Cites 0 Cited by
  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

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

Method used

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
View more

Image

Smart Image Click on the blue labels to locate them in the text.
Viewing Examples
Smart Image
  • Bond performance attribution method and device
  • Bond performance attribution method and device
  • Bond performance attribution method and device

Examples

Experimental program
Comparison scheme
Effect test

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...

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

PUM

No PUM Login to view more

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

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

Application Information

Patent Timeline
no application Login to view more
Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06
CPCG06Q40/06
Inventor 王政钟
Owner CCB FINTECH CO LTD
Who we serve
  • R&D Engineer
  • R&D Manager
  • IP Professional
Why Eureka
  • Industry Leading Data Capabilities
  • Powerful AI technology
  • Patent DNA Extraction
Social media
Try Eureka
PatSnap group products

Browse by: Latest US Patents, China's latest patents, Technical Efficacy Thesaurus, Application Domain, Technology Topic.

© 2024 PatSnap. All rights reserved.Legal|Privacy policy|Modern Slavery Act Transparency Statement|Sitemap