Hello I have question regarding the computations of the Value at Risk for a plain vanilla interest rate swap (i.e. same currency and fixed-for-floating).
I have a data set consisting of the Swap Rates from 2017-12-31 to date in the relevant currency, and I would like to use historical simulation (rather than variance-covariance or monte carlo method) to compute the 10 day VaR at level p=0.01.
How would I go on and do this? Are the Swap rates sufficient to compute? I don't have any data regarding principals etc, just the swap rates. I think we can assume a monocurve setup.
Thanks in advance