actually it decreases your sensitivity and it ends up decreases your Var number. you will see in your backtest as well

keep in your mind that there may be basis so that you dıscountıng curve should ınclude basıs spread

what kind of securities do you have in the index you have builded? FRN, zeros, fixed coupon, CPI...?

Dear all, I am new around and mostly I read the posts of the member and it is highly educative for me.I need some advice about exotic option pricing via Heston Model and comparison with Vanna Volga model.Could you help me where I can start to research. I highly appreciate some advice. Cheers