VaR_Spec__Modelled_Factor
Modelled Factor refers to List of definitions on how a market element's numerical value is produced out of the simulated value of its driving risk factor.
Available Modelled Factor types:
MarketValue
The simulated risk factor is identical with the corresponding numerical value in the respective market element.
The assumption here is that the respective market element contains a single numerical value (bucket).
For example, if the respective market element represents a yield curve then it must be a flat rate curve.
If this is not the case, an error is returned.
Multiplier
Given a simulated value x of the referenced risk factor at time t, the corresponding numerical value m(x;t) of the affected market element bucket (eg a single deposit rate or vol) is given by the product:
m(x;t) = xm(0), where m(0) is the initial known value of this market element bucket.
Effectively this amounts to defining the risk factor as the random ratio m(t)/m(0), rather than m(t) itself.
Although not required, this setting is usually accompaqnied by a VaR Spec::Process Type setting of VaR Spec::Process Type::LogNormal
Shift
Given a simulated value x of the referenced risk factor at time t, the corresponding numerical value m(x;t) of the affected market element bucket (eg a single deposit rate or vol) is given by the sum:
m(x;t) = m(0) + x, where m(0) is the initial known value of this market element bucket.
Effectively this amounts to defining the risk factor as the random difference m(t) - m(0), rather than m(t) itself.
Although not required, this setting is usually accompaqnied by a VaR Spec::Process Type setting of VaR Spec::Process Type::Normal