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VaR_Spec__Buckets_Treatment

Buckets Treatment refers to List of various ways of assigning one or more risk factors as the underlying stochastic drivers of a particular market element.
Available Buckets Treatment types:
All Buckets
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 x.
For any given simulated value x, the respective bucket is produced according to the mapping defined in
VaR Spec::Modelled Factor
Bipolar
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 Yield Curve::Futures VaR Type =
Yield Curve::Futures VaR Type::By Rate or Yield Curve::Bond VaR Type = Yield Curve::Bond 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 x_min and x_max are simulated that correspond to the two extreme coordinates that span the buckets of the respective group.
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 x_min and x_max on the two extreme coordinates, appropriate risk factor values are produced by linear interpolation for all intermediate coordinates.
After the risk factor values x_i have been thus calculated for all buckets indexed by i within the respective group, the buckets themselves can be calculated from x_i according to the mapping defined in
VaR Spec::Modelled Factor
Parallel
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 Yield Curve::Futures VaR Type =
Yield Curve::Futures VaR Type::By Rate or Yield Curve::Bond VaR Type = Yield Curve::Bond 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 x is simulated per group.
Afterwards the various buckets within the respective group are calculated from x according to the mapping defined in
VaR Spec::Modelled Factor
Tripolar
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 Yield Curve::Futures VaR Type =
Yield Curve::Futures VaR Type::By Rate or Yield Curve::Bond VaR Type = Yield Curve::Bond 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 x_min, x_med and x_max are simulated that correspond to the three equidistant coordinates that span the buckets of the respective group.
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 x_min, x_med and x_max on the three extreme coordinates, appropriate risk factor values are produced by linear interpolation for all intermediate coordinates.
After the risk factor values x_i have been thus calculated for all buckets indexed by i within the respective group, the buckets themselves can be calculated from x_i according to the mapping defined in
VaR Spec::Modelled Factor