- Joined
- 12/9/15
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- 11
Hi there!
I' m looking for some quant advise for analysing the duration change of a portfolio. I'm trying to figure out what caused the change on a given fixed income portfolio in a week period. My data consists of the present value of the cash flows (thousands) at t and t-1, as well as each cash flow's duration.
For each data point (t and t-1), I calculated each cash flow's weight times its duration to obtain its influence in the portfolio's total duration. Then, by comparing the change for this values between t ant t-1 I tried to see which cash flow had the biggest impact as a percentage of the total duration change. For the first portfolio I tried, it was quit easy to see who did it. For the second though, I cannot spot a cash flow to blame.
So, my question would be how to breakdown and analyse the duration change of a fixed income portfolio.
Thanks for any advice!
(some fool intern worried of annoying some colleagues)
I' m looking for some quant advise for analysing the duration change of a portfolio. I'm trying to figure out what caused the change on a given fixed income portfolio in a week period. My data consists of the present value of the cash flows (thousands) at t and t-1, as well as each cash flow's duration.
For each data point (t and t-1), I calculated each cash flow's weight times its duration to obtain its influence in the portfolio's total duration. Then, by comparing the change for this values between t ant t-1 I tried to see which cash flow had the biggest impact as a percentage of the total duration change. For the first portfolio I tried, it was quit easy to see who did it. For the second though, I cannot spot a cash flow to blame.
So, my question would be how to breakdown and analyse the duration change of a fixed income portfolio.
Thanks for any advice!
(some fool intern worried of annoying some colleagues)
