Report Horizon


Key Report Horizon in
VaR Spec refers to the period used to find the horizon date, on which the reported VaR applies.
More specifically, this horizon date is found by adding the period here to today's date.
The standard choice is 1D for a daily VaR or 1M for a monthly VaR.

Note the VaR is first computed with respect to the date implied by the
Actual Horizon entry.
Then the final VaR is produced by multiplying it with the square root of t1/t2, where t1 is the time to report horizon and t2 the time to actual horizon
Expects an object of type
Period.