Value at Risk of Bond by Cash Flow Mapping

Posted by Fred

Input from market:
Zero rate of 3-month %
Zero rate of 6-month %
Zero rate of 12-month %
Bond price volatility of 3-month (% per day) %
Bond price volatility of 6-month (% per day) %
Bond price volatility of 12-month (% per day) %
Correlation between 3-month bond and 6-month bond
Correlation between 6-month bond and 12-month bond
Correlation between 3-month bond and 12-month bond
Input from user (the bond for VaR):
Maturity of bond (must between 0.25 and 1) year
Principal of bond
Coupon of bond per annual %
Coupon payment type
Time horizon of VaR (N) days
Confidence level
Cash flow mapping result:
Position in 3-month bond ($)
Position in 6-month bond ($)
Position in 12-month bond ($)
Output:
1-day VaR
N-day VaR

Tagged: VaR Calculator, Cash Flow Mapping, Value at Risk

 •  Jul 13, 2014  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.

Contact

Please contact us if you have any suggestion.

pai@quantcalc.net

Copyright 2012-2017 Szu-Yu Pai