Dear friends,We are testing the new VaR calculation system, but the result is reasonable for Asset Swap.I separated the asset swap into 4 parts: 1 principle for fixed rate bond, fixed rate cashflow for the bond, fix rated rate cashflow for the IRS and floating rate cashflow for IRS.From the separated VaR of them, the fixed rate of bond and fixed rate of IRS are netting off, it is ok.The principle of the bond and fixed rate of bond are ok, VaR looks like as fixed rate bond should have, it is ok too.But the floating rate leg of IRS generated a large VaR, it is more the fixed rate leg.It make the total VaR bigger than a fixed rate bond. It seems that it is a problem, IRS swap should reduce the risk of the bond, but the figure is not.Is there any problem on the system (i don't understand how the libor affect the VaR)