Parallel
Subtype of Buckets TreatmentThe 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 VaR Type = By Rate or 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.
Afterward the various buckets within the respective group are calculated from x according to the mapping defined in Modelled Factor