I am attempting estimate the 99% 10-day VaR of an investment grade bond due to changes in the US yield curve. The data provided is the daily prices of the bond over time. In addition I have the Daily treasury yield curve rates.
I understand how to carry out a historical simulation for the 99% VaR, however this will give the VaR due to all risk factors not just the changes in yield curve.
So far I have calculated the n-1 scenarios for returns of the bond and the changes in yields for each maturity but cannot figure out how to continue, any help would be appreciated.