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A Book Recommendation for Fixed Income P&L Attribution

Article Quant Q&A · Author: Alfie
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Summary

The document concerns practical profit and loss attribution analysis for fixed income portfolios. It notes a perceived gap between the extensive literature on pricing interest rate derivatives and accessible explanations of the methods used to explain portfolio gains and losses. The question asks for a comprehensive resource that covers this practical analysis, including the possibility that the methods apply across asset classes.

The response recommends David Jamieson Bolder’s book Fixed Income Portfolio Analytics and points readers particularly toward Part III, while also describing the wider book as useful. This is a single recommendation, not a summary or comparison of attribution methods. The document offers no worked examples, evidence about the book’s coverage, or guidance on how to perform an attribution, so readers would need the cited text for the actual methodology.

Key ideas

  • Practical P&L attribution explains the sources of portfolio gains and losses.
  • The question distinguishes hands-on attribution methods from derivative pricing literature.
  • The response recommends Fixed Income Portfolio Analytics, with particular attention to Part III.
  • The document does not describe attribution calculations or compare alternative references.

Tags

Fixed incomeRisk managementPortfolio construction
Full text
# Literature on PAA for Rates products


# Literature on PAA for Rates products












There is abundant literature on pricing interest rate derivatives, but it is a struggle to find much on the science and methods behind practical Profit Attribution Analysis (PnL explain) on fixed income portfolios, or portfolios in any asset class in general.

Is there a comprehensive book which covers this topic?

## Answer by Sharad (score 1)

https://quant.stackexchange.com/a/78070

Yes. I recommend: Fixed Income Portfolio Analytics by David Jamieson Bolder (ex-BIS); take a look at Part III in particular but the whole book is interesting, useful, and very well written IMHO.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.