Hi,I've to compute Var on a equity index future.Var horizon = 1 yearPosition (that is: future price * n° contracts * tick ) is 130,000.00 euro.Margin = 10,000.00 euro.Do I have to compute 1 year time serie return on the future price and then computestandard deviation, and then standar deviation * Position * 1.645 (or 2.33) * sqrt(252) ?How can I consider the margin?For example, do I have I to deduct the margin from the Position ?Further, I have a portfolio with this future. About the Var of the future in a portfolio, have I to make: Var(future) / NAV (portfolio) = % Varthat I've to consider?I looked for some applications about the var on a future, in a portfolio, but I haven'tfound anything...Any help very appreciated..Thanks a lot

I would just overlook the call margin.I believe this is what everybody does.

So you'd do the Var computation as: standar deviation * Position * 1.645 (or 2.33) * sqrt(252) if I've seen through..

yestogether with MC stuff and other standard toys

>standar deviation * Position * 1.645 (or 2.33) * sqrt(252) Well.. done. But the problem now is about a future in USD andI'm based in Euro.I've computed Var as: 1.645 (or 2.33)* sqrt(252)* Position* radq(Volatility)where Volatility = variance(Future)+variance(Euro/$)-2*cov(future, Euro/$)Future time serie is in USD and so the variance(Future).Is it right my computing? Do you think I've to compute my Future time serie (andso its volatility) in Euro ?Thanks a lot for helping me..

I think you've got both the Furture and FX risk covered in your equation.

What's the difference between computing Var on a portfoliothat has got long and short positions in futures and stocks, and Var on a longportfolio and on a short portfolio ( that is, after breaking theportofolio in other two porfolios )?In the last case, you consider only the notional value aboutthe future.I'm not an expert about Var, but I'm amazed about notional value:I'd have considered market value on futures contracts.It' hard for me to see a computation on a long and on a short portfolio.I think if I short to hedge my portofolio, it would be better compute risk on the "global" portfolio...Any suggestion very appreciated..

T

thank a lot gsrikanth for your indications !