Bond Historical VaR is blank!


#1

I tried to configure the Historical VaR in Government Bond View, I followed the instruction in OpenGamma Doc site,

http://docs.opengamma.com/display/DOC210/Bond+Value+Requirements#BondValueRequirements-HistoricalVaR

My Configure is the same, like:
Horizon=1
SamplingPeriod=P1Y
SandardDeviationMethod=Sample
SamplingMethod=PreviousAndFirstValuePadding
Percentile=0.99
MeanMethod=Mean
Currency=USD
VaRDistributionType=Normal
ScheduleMethod=Daily

However, the result in the Analytics View of VaR is Blank. And, I can’t find any log or exceptions in the GUI. Did I mis-config the property?

Any one can help? Many thanks!


#2

This is the correct approach but displaying Historical VaR would require historical time-series data for the bonds in the view. We generate this for the equities in the equity portfolio so that we can display Historical VaR in the Equity Portfolio View, but not for for the example government bonds.

Your logs will probably contain a single line saying that the HistoricalVaR requirement could not be satisfied; we realise this is far from obvious or helpful and we are working on a vast improvement to the way that outputs are requested and the way errors are presented.


#3

Thanks Jonathan, but I also use the same configuration for the swap, I can see the swap Historical VaR in the analytics view. So, it is wired for me. And as you say, it require historical time series data, but for USD yield curve, it is bootstrapped from the historical -time series market data the same as swap yield curve, so I am really confused.