VaR forward bond

[MpazB]

Hi, I hope you are keeping well.

Any hint in order to calculate a historical Value at Risk of Forward Bond (Goverment Bond 5 years, Bullet semmi-annual, Forward 3 Months)?.

Please your support.

Many thanks!

MPB

 

[Ken Abbott]

I'd just go for the 5 year bond VaR. I suppose you could do 5.25 year position with a short 3m against it, but there will be very little risk associated with the 3m stub.