VaR_Spec__Buckets_Treatment

Available

Every single bucket (i.e. single numerical value, such as deposit rate or vol) inherent in the referenced market element is modelled by its own separate risk factor

For any given simulated value

The various buckets (i.e. single numerical values, such as deposit rates or vols) inherent in each referenced market element are not separately simulated.

They are first grouped into groups so that each group contains buckets of the same market element that are capable of being processed together.

For example, if the referenced market element represents a vol surface, all vols in the contained two-dimensional table constitute one such group.

If the referenced market element represents a yield curve, then all rates constitute one group, regardless of their instrument type.

Futures prices, bond prices and BMA ibor fractions are not considered rates and therefore form their separate groups.

An exception to that is when the yield curve object has Key Yield Curve Fut::VaR Type = Yield Curve Fut::VaR Type::By Rate or Key Yield Curve Bnd::VaR Type = Yield Curve Bnd::VaR Type::By Rate, in which case the futures or bond prices can be treated as rates and thus combined with deposits, forwards and swaps.

Then only two single risk factors

For example, in the yield curve case the two extreme coordinates are the shortest and longest maturity among the instruments of the respective group, in that order.

In the vol surface case the two extreme coordinates apply on each of the two involved dimensions separately.

In the vol cube case the two extreme coordinates apply on each of the three involved dimensions separately.

Given the values

After the risk factor values

The various buckets (i.e. single numerical values, such as deposit rates or vols) inherent in each referenced market element are not separately simulated.

They are first grouped into groups so that each group contains buckets of the same market element that are capable of being processed together.

For example, if the referenced market element represents a vol surface, all vols in the contained two-dimensional table constitute one such group.

If the referenced market element represents a yield curve, then all rates constitute one group, regardless of their instrument type.

Futures prices, bond prices and BMA ibor fractions are not considered rates and therefore form their separate groups.

An exception to that is when the yield curve object has Key Yield Curve Fut::VaR Type = Yield Curve Fut::VaR Type::By Rate or Key Yield Curve Bnd::VaR Type = Yield Curve Bnd::VaR Type::By Rate, in which case the futures or bond prices can be treated as rates and thus combined with deposits, forwards and swaps.

Then only one single risk factor

Afterwards the various buckets within the respective group are calculated from

The various buckets (i.e. single numerical values, such as deposit rates or vols) inherent in each referenced market element are not separately simulated.

They are first grouped into groups so that each group contains buckets of the same market element that are capable of being processed together.

For example, if the referenced market element represents a vol surface, all vols in the contained two-dimensional table constitute one such group.

If the referenced market element represents a yield curve, then all rates constitute one group, regardless of their instrument type.

Futures prices, bond prices and BMA ibor fractions are not considered rates and therefore form their separate groups.

An exception to that is when the yield curve object has Key Yield Curve Fut::VaR Type = Yield Curve Fut::VaR Type::By Rate or Key Yield Curve Bnd::VaR Type = Yield Curve Bnd::VaR Type::By Rate, in which case the futures or bond prices can be treated as rates and thus combined with deposits, forwards and swaps.

Then only three single risk factors

For example, in the yield curve case the three extreme coordinates are the shortest, middle and longest maturity among the instruments of the respective group, in that order.

In the vol surface case the three extreme coordinates apply on each of the two involved dimensions separately.

In the vol cube case the three extreme coordinates apply on each of the three involved dimensions separately.

Given the values

After the risk factor values