1-day VaR(99%) measure for GoI Securities that traded on NSE-WDM
10/02/2012
Sec_type,Security,Issue_Name,Normal,Weighted Normal,Historical_Simulation,Weighted Historical_Simulation,EVT, Clean Price (off NSE-ZCYC),Accrued_Interest 
GS,CG2016,7.02%,1.146,0.742,1.346,0.877,1.057,94.861,3.3735
GS,CG2016,7.59%,1.121,0.766,1.315,1.380,1.071,97.111,2.4878
GS,CG2018,7.83%,1.219,0.636,1.333,1.675,1.028,97.309,2.5882
GS,CG2021,8.79%,1.522,0.749,1.620,1.846,1.338,102.219,2.2463
GS,CG2024,9.15%,1.999,0.914,2.206,0.798,1.813,104.807,2.1858
GS,CG2032,8.28%,3.729,2.244,4.983,2.344,3.467,96.221,4.0250
GS,CG2041,8.83%,5.445,4.280,7.587,4.844,5.244,100.483,1.4226
TB,182D,160212,0.024,0.014,0.032,0.019,0.026,99.858,0.0000
TB,364D,080213,0.756,0.551,0.936,0.748,0.833,91.875,0.0000