When quoting a yield of a transaction e.g. yield 3.8% behind the yield it is quote "factor" - in this case of a yield of 3.8% it is mentioned in brackets (factor 26.11) . The lower the yield the ...
I would like to calculate historical Value at Risk for a portfolio that includes both long and short positions in forward contracts. The part that confuses me is that I wonder whether the VaR of the ...