bond-futures

  1. J

    VaR of a Portfolio of Bond Futures (spread trade)

    Dear Community, I'd appreciate any guidance regarding the most efficient way to compute the VaR (say 1-day VaR at 95% confidence level) for a spread trade in two Bond Futures, with weights adjusted by duration, currency, and volatility. As an example, consider you're given this positio: LONG...
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