portfolio comprised of 3 bonds with 3 maturities (2013/2014/2015)33.33% weights fixed rate/no coupon - i have the pricing data going back 3 years questions... is the var of a fixed rate/no coupon bond calculated the same as the var for stocks/equity? - most of the info im finding online is related to stocks and i cant find any examples of a 3 asset portfolio. do i need a correlation matrix? can/how do i use this formula for a 3 asset porfolio?? any points would help
I would ask this type of question in the Wilmott forum that focusses on quantitative finance. http://www.wilmott.com/
i found this online and it pretty much covered everything i needed to know http://almprofessional.com/article/3var.pdf
The Gummy Stuff Archive of financial material from retired Professor Ponzo at the University of Waterloo has some information on Covariance, Monte Carlo, etc. http://www.financialwebring.org/gummy-stuff/gummy_stuff.htm Here is also the archive page that lists all the available spreadsheets, one of these may be helpful as a starting point. http://www.financialwebring.org/gummy-stuff/Excel/