# Interest rate swap performance attribution

I have learned some attribution models such as Campisi. It decomposes the return of bond into treasury return, spread return, and coupon return. It works like: $$r = y\times dt - D \times dy_\text{treasury} - D \times dy_\text{credit}$$

Can an interest rate swap be decomposed in a similar way?

• In theory yes, but with different components... maybe carry and rolldown – David Duarte Aug 4 '20 at 10:06