Delta and Historical VaR
This spreadsheet enables verification of historical and delta VaR results, for a single transaction under the following assumptions: the transaction is two-sided, i.e. one floating side and one fixed side; – the transaction
Our Articles
Popular Posts
- The Use, Abuse and Misuse of Ops Service Processing!
- Black Scholes ( Black 76 ) Pricing Model in Endur
- Black Scholes ( Black 76 ) Formula in Endur with Delayed Payment (from Exercise Date)
- Off-Peak Delta on Baseload Power Deals
- Endur External Pricing Model Overview 1
- Report Builder Evaluation 1
- Use of ‘Regen Date’ and ‘Cut-Off Date’ fields in the Power and Commodity toolsets
- Endur – Structured Gas Contract Modelling
- Mod-Levy Asian Pricing Model : Example WTI Swap Price Underlying
- Mod-Levy Asian Pricing Model : Example WTI Futures Underlying
