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Unformatted text preview: 0.05 1 0.13 Next Month $/mark rate #ADDIN? IR Parity error 0.14 0.13 1 Next Month futures Price #ADDIN? Duration of contract 0.92 Note 5%ile of .538 is around 5% below mean of .566 so VAR is about 5% of mean value....
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- Spring '10
- Standard Deviation, Probability theory, 5%, Absolute deviation, #ADDIN