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A B C E F G l tipolugia strumento data cut_o data maturity data next can pan frequenza cedolare indice di rifetimento spread assaciato all'indice

Hello, i need help to calculate var of each title and the portfolio var by Historical Simulation (100 scenarios)


confidence level 99%

holding period 1 day

var_portfolio.png

var_portfolio.png

A B C E F G l
tipolugia strumento data cut_ofi data maturity data next can pan frequenza cedolare indice di rifetimento spread assaciato all'indice face value
Titeln 1 ZERO COUPON 1m
Titolo 2 FLOATING Ind ice sidebyside 95 1a]
Titolo 3 FIXED 1m lntepnlazinne lineare fl11=lI-IDIHIE-Kbl"Fl-{I-KHIHIH-Ibl 'S‘D

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