VaR Calculator | NextPricer

Parameters

Portfolio Type

Equity CSV expected columns
trade_id, share_name, price, quantity

Fixed Income Trades CSV expected columns
trade_id, trade_type, notional, maturity_years, fixed_rate, position
where trade_type is bond or swap and position can be long or short.

Curve CSV expected columns
tenor_years, rate

FX & Derivatives Trades CSV expected columns

trade_id, trade_type, currency_pair, notional, spot_rate, r_domestic, r_foreign, volatility, maturity_years, strike, position

where trade_type is spot, forward, call, or put. strike is required for forward, call, and put. maturity_years can be 0 for spot positions.

Rates must be entered as decimals, for example 0.035 for 3.5%. Between tenor points the curve is linearly interpolated and beyond the last tenor it is linearly extrapolated.

Equity Trades CSV Upload CSV with columns such as trade_id, share_name, price, quantity.

Daily Volatility

Confidence Level

Number of Simulations

Number of Time Steps

Fixed Income Trades CSV

Curve CSV

Mean Reversion (a)

Volatility (sigma)

Confidence Level

Number of Simulations

VaR Horizon (Days)

FX Trades CSV

Confidence Level

Number of Simulations

VaR Horizon (Days)

Portfolio Type

Equity

Method

Monte Carlo

Total VaR

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Method Equations & Explanation

\[ d\ln(S_t) = \sigma\, dW_t \]

\[ S_T = S_0 \exp\!\left(\sum \Delta \ln S\right) \]

\[ \mathrm{VaR}_{\alpha} = \mathrm{Quantile}_{\alpha}(L) \]

The equity engine reads the uploaded trades CSV, applies the user-defined daily volatility, simulates Monte Carlo log-returns, computes trade-level and portfolio-level losses, and extracts the chosen VaR percentile from the simulated loss distribution.

Portfolio at Risk Breakdown

Select Equity or Fixed Income, upload the required CSV file(s), and run the VaR calculation.

VaR Calculation Parameters Used

Submit the form to see the parameters used.