VaR Vol


Key VaR Vol in
Yield Curve Bnd refers to the vol associated with the stochastic process being used to model the evolution of the clean bond prices during the Value At Risk simulation.
This entry is used only when VaR Type equals By Price
Otherwise the simulated risk factor is the interest rate instead of the clean bond price and the rate's vol is defined in the table of the supplied
VaR Spec object.