Accounting for the effect of interest rate swaps on performance in fixed income portfolios can be challenging. See how FactSet accurately measures and accounts for the impact of plain vanilla swaps within the context of portfolio analysis and performance attribution in our white paper: Interest Rate Swaps and Fixed Income Portfolio Analysis.
FactSet applies cash flow projecting and discounting procedures to estimate market values and analytics for each leg of the swap independently. In this regard, swaps are treated similarly to other fixed income securities. The analytics and returns computed by FactSet constitute the basis for calculating performance attribution for portfolios that include swaps versus benchmarks.
Learn to account for plain vanilla interest rate swaps in your fixed income portfolio attribution. Fill out the form to download our white paper: Interest Rate Swaps and Fixed Income Portfolio Analysis.