Hybrid Historical Simulation VaR

Last updated 9 November 2026

Function reference › Value at Risk (VaR) › Hybrid historical

6 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_VaR_HybridHistorical_BondPortfolioVaR

Returns the value at risk of a bond portfolio over a chosen time horizon (number of days) during a specified period, given historical prices.

GIA_VaR_HybridHistorical_BondPortfolioVaR(Portfolio, HYieldCurves, CurrencyData, SpreadData, VDate, Horizon, StartDate, EndDate, ConfidenceLevel, Lambda, Interpolation, ValueCalcType, VaRCurrency, PercentileCalcMethod)

Returns: Value at risk of a bond portfolio over a chosen time horizon (number of days) during a specified period

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`HYieldCurves`	Required	The array of historical yield curves.
`CurrencyData`	Required	The array of historical currency curves.
`SpreadData`	Required	The array of historical credit spreads by rating.
`VDate`	Required	The value date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`ConfidenceLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`Interpolation`	Required	The interpolation method.
`ValueCalcType`	Required	The bond valuation method (KR, FullValuation).
`VaRCurrency`	Required	Which currency to calculate the VaR in.
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).

GIA_VaR_HybridHistorical_CombinedPortfolioVaR

Returns the value at risk of an FX portfolio over a chosen time horizon (number of days) during a specified period, given historical prices.

GIA_VaR_HybridHistorical_CombinedPortfolioVaR(FX_Portfolio, FX_MData, FX_HData, FX_DatesHandling, EQ_Portfolio, EQ_MData, EQ_HData, EQ_DatesHandling, Bond_Portfolio, B_HYieldCurves, B_CCYData, B_SpreadData, B_Interpolation, B_ValueCalcType, VDate, SDate, Horizon, StartDate, EndDate, Comp, Days, ConfLevel, Lambda, PercentileCalc, VaRCCY, OutputFilter, VaRType)

Returns: Value at risk of an FX portfolio over a chosen time horizon (number of days) during a specified period

Argument	Use	Description
`FX_Portfolio`	Required	The FX portfolio.
`FX_MData`	Required	The FX asset market data.
`FX_HData`	Required	The FX historical data.
`FX_DatesHandling`	Required	Whether the historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`EQ_Portfolio`	Required	The EQ portfolio.
`EQ_MData`	Required	The EQ asset market data.
`EQ_HData`	Required	The EQ historical data.
`EQ_DatesHandling`	Required	Whether the historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`Bond_Portfolio`	Required	The bond portfolio.
`B_HYieldCurves`	Required	The array of historical bond yield curves.
`B_CCYData`	Required	The array of historical bond currency curves.
`B_SpreadData`	Required	The array of historical bond credit spreads by rating.
`B_Interpolation`	Required	The bond interpolation method.
`B_ValueCalcType`	Required	The bond valuation method (KR, FullValuation).
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`PercentileCalc`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`VaRCCY`	Required	Which currency to calculate the VaR in.
`OutputFilter`	Required	Which assets' contributions to VaR to output (All, Underlyings, Derivatives, list of asset IDs delimited by commas with no spaces).
`VaRType`	Required	The type of VaR disaggregation (None, Component, Marginal, Incremental, Shortfall).

GIA_VaR_HybridHistorical_EquityPortfolioDateOrChange

Returns date or asset price change falling on the confidence level borderline, given of a portfolio in multiple markets and historical prices.

GIA_VaR_HybridHistorical_EquityPortfolioDateOrChange(Portfolio, FX_MarketData, FX_HistData, EQ_MarketData, EQ_HistData, FX_DatesHandling, EQ_DatesHandling, VDate, SDate, Horizon, StartDate, EndDate, Comp, Days, ConfidenceLevel, Lambda, PercentileCalcMethod, OutputType, IfContinuous, Filter1, Filter2, Underlying, VaRCurrency)

Returns: Date or asset price change falling on the confidence level borderline

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`FX_MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`FX_HistData`	Required	The array of historical asset dates and spots in columns.
`EQ_MarketData`	Required	The currency market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`EQ_HistData`	Required	The array of historical currency dates and spots in columns.
`FX_DatesHandling`	Required	Whether the asset historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`EQ_DatesHandling`	Required	Whether the currency historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`OutputType`	Required	The type of output (Date, Change).
`IfContinuous`	Required	Which date/change to consider falling on the borderline if the CalcMethod is Continuous (Low, High, Nearest).
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, list of asset IDs delimited by commas with no spaces). Optional, NoFilter by default.
`Underlying`	Required	Which asset's change to output if the OutputType is Change.
`VaRCurrency`	Required	Which currency to calculate the VaR in.

GIA_VaR_HybridHistorical_EquityPortfolioVaR

Returns the value at risk of a portfolio in multiple markets over a chosen time horizon (number of days) during a specified period, given historical prices.

GIA_VaR_HybridHistorical_EquityPortfolioVaR(Portfolio, FX_MarketData, FX_HistData, EQ_MarketData, EQ_HistData, FX_DatesHandling, EQ_DatesHandling, VDate, SDate, Horizon, StartDate, EndDate, Comp, Days, ConfidenceLevel, Lambda, PercentileCalcMethod, Filter1, Filter2, OutputFilter, VaRType, VaRCurrency)

Returns: Value at risk of a portfolio in multiple markets over a chosen time horizon (number of days) during a specified period

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`FX_MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`FX_HistData`	Required	The array of historical asset dates and spots in columns.
`EQ_MarketData`	Required	The currency market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`EQ_HistData`	Required	The array of historical currency dates and spots in columns.
`FX_DatesHandling`	Required	Whether the asset historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`EQ_DatesHandling`	Required	Whether the currency historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, list of asset IDs delimited by commas with no spaces). Optional, NoFilter by default.
`OutputFilter`	Required	Which assets' contributions to VaR to output (All, Underlyings, Derivatives, list of asset IDs delimited by commas with no spaces).
`VaRType`	Required	The type of VaR disaggregation (None, Component, Marginal, Incremental, Shortfall).
`VaRCurrency`	Required	Which currency to calculate the VaR in.

GIA_VaR_HybridHistorical_FXPortfolioDateOrChange

Returns date or asset price change falling on the confidence level borderline, given an FX portfolio and historical prices.

GIA_VaR_HybridHistorical_FXPortfolioDateOrChange(Portfolio, MarketData, HistData, DatesHandling, VDate, SDate, Horizon, StartDate, EndDate, Comp, Days, ConfidenceLevel, Lambda, PercentileCalcMethod, OutputType, IfContinuous, Filter1, Filter2, Underlying, VaRCurrency)

Returns: Date or asset price change falling on the confidence level borderline

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`HistData`	Required	The array of historical asset dates and spots in columns.
`DatesHandling`	Required	Whether the historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`OutputType`	Required	The type of output (Date, Change).
`IfContinuous`	Required	Which date/change to consider falling on the borderline if the CalcMethod is Continuous (Low, High, Nearest).
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, list of asset IDs delimited by commas with no spaces). Optional, NoFilter by default.
`Underlying`	Required	Which asset's change to output if the OutputType is Change.
`VaRCurrency`	Required	Which currency to calculate the VaR in.

GIA_VaR_HybridHistorical_FXPortfolioVaR

Returns the value at risk of an FX portfolio over a chosen time horizon (number of days) during a specified period, given historical prices.

GIA_VaR_HybridHistorical_FXPortfolioVaR(Portfolio, MarketData, HistData, DatesHandling, VDate, SDate, Horizon, StartDate, EndDate, Comp, Days, ConfidenceLevel, Lambda, PercentileCalcMethod, Filter1, Filter2, OutputFilter, VaRType, VaRCurrency)

Returns: Value at risk of an FX portfolio over a chosen time horizon (number of days) during a specified period

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`HistData`	Required	The array of historical asset dates and spots in columns.
`DatesHandling`	Required	Whether the historical data table has only one shared column for dates and how to handle mismatched dates if it does not. (Yes, No_Fill, No_Discard).
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`Lambda`	Required	The weight decay factor (daily).
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, list of asset IDs delimited by commas with no spaces). Optional, NoFilter by default.
`OutputFilter`	Required	Which assets' contributions to VaR to output (All, Underlyings, Derivatives, list of asset IDs delimited by commas with no spaces).
`VaRType`	Required	The type of VaR disaggregation (None, Component, Marginal, Incremental, Shortfall).
`VaRCurrency`	Required	Which currency to calculate the VaR in.