Simulated Market
Key Simulated Market in VaR Spec refers to a table containing the risk factors against which the VaR is calculated.
One row is allocated to each market element, which in turn may be driven by more than one risk factors.
Therefore the total number of risk factors may exceed the number of table rows.
There exist 7 columns that describe the type of risk factors associated with each market element and how each of them should be evolved during simulation.
The 1st column is titled #MarketFactor and identifies the market element as an object of a type deriving from Valuation.
The 2nd column is titled #BucketsTreatment and contains an element from the list Buckets Treatment
The 3rd column is titled #ModelledFactor and contains an element from the list Modelled Factor
The 4th column is titled #ProcessType and contains an element from the list Process Type
The 5th column is titled #Drift and contains the applicable drift.
The 6th column is titled #Vol and contains the applicable vol.
The 7th column is titled #Process and contains the applicable custom stochastic process as an object of type Stoch Process.