Correlation


Key Correlation in
VaR Spec refers to a symmetric square correlation matrix that provides the pairwise correlations between the risk factors.
Expects an object of type
Flat Array.
The dimensionality (number of rows or columns) must equal the total number of simulated risk factors.
The ordering of risk factors matches that of the market elements in the table
Simulated Market

In the special case where a market element has its buckets treated according to
Bipolar or Tripolar, the first risk factor corresponds to the minimum coordinate and the last risk factor corresponds to the maximum coordinate.

In the special case where a market element is of type
Yield Curve and the various buckets are separately evolved, the ordering is as follows:
Deposits
Futures
Forwards
Swaps
Bonds
OIS
BMA

In the special case where a market element is of type
Vol Curve represented through a two-dimensional table (vol surface) and the various buckets (table elements) are separately evolved, the ordering is as follows:
If
Vol Input = Maturity-Strike then the buckets are indexed first by the #Maturity and then by the #Strike.
If
Vol Input = Swaption Surface then the buckets are indexed first by the #Expiry and then by the #SwapTenor.

In the special case where a market element is of type
Vol Curve represented through a three-dimensional table (vol cube) and the various buckets (table elements) are separately evolved, the ordering is as follows:
The buckets are indexed first by the #AtmSpread then by the #Expiry and finally by the #SwapTenor.