Patches item #3413982, was opened at 2011-09-26 12:48
Message generated for change (Tracker Item Submitted) made by miemiec
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: IR Value At Risk via RiskMetrics
Initial Comment:
The project contains an elementary implementation of the RiskMetrics methodology for linear interest rate instruments like bonds. The purpose is mainly to explore the ability of QuantLib to support these kind of risk calculations. Appart from the fact that the implementation actually works pretty well it points out some shortcomings. The major problem is that the generation of tweaked pricing engines is not quite handy. The study revealed that is should be solved by adding an appropriate Clone-mechanism to each of the pricing engines, which implies a lot of work.
Inclusion of FX-risk and EQ-risk was started but stopped in an early phase. Basically there are no additionally problems to complete these exercises.
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