 Over a given interval, the return of each security will be made up of return from various sub-returns (see below for explanations)


To calculate the return arising from each effect, we can reprice the security from first principles by using a pricing formula, or some other algorithm, before and after each source of return is considered.For instance, in calculating yield return, we might calculate the price of the security at the start and end of the calculation interval, but using the yield at the beginning of the interval.Then the difference between the two prices may be used to calculate the portfolio of the security's return due to the passage of time.