Yield_Curve_Fut__VaR_Type__By_Rate

The Value At Risk of a tradable with respect to the market futures prices contained in the referenced yield curve is calculated by assuming that the underlying simulated risk factor applies to the interest rateHere

Due to the fact that

For example, when the VaR Spec::Buckets Treatment of the respective risk factor is VaR Spec::Buckets Treatment::Parallel, then a single risk factor suffices for moving in a parallel sense all market quotes of an ultimately rate type, that include the futures price quotes, since the latter are represented by their equivalent rate

The moved futures prices are then recovered from the moved

If the VaR Spec::Modelled Factor of the respective risk factor is VaR Spec::Modelled Factor::Shift, the risk factor equals a shift

The initial futures price

Approximating

If the VaR Spec::Modelled Factor of the respective risk factor is VaR Spec::Modelled Factor::Multiplier, the risk factor equals a multiplier

The initial futures price

If

If we set