Hello, I hope some one could help me with this. I am doing a monte Carlo Simulation using Crystal Ball, the portfolio that I am using for this porpuse has bonds and I have to decide about which variable is better to be include as part of my historical data, prices or interest rates. Does duration have to do some thing with this? Hope someone could help. Thanks.

If you check the thread entitled 'my VaR methdodlogy' by myself , you'll see that Aaron suggests mapping individual instruments to market factors, because those will produce more stable variance/cvariance matrices. Now for MC sims, those are obviously irrelevant, as you're not going to use them. However, if you have to estimate the parameters of the distribution you're going to use, you might be better off with the interest rates, as those might - and someone more senior needs to confirm this- produce more accurate parameters. In any cas, I's go with the interest rates and the spreads, rather than with the prices.