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[null,null,null,null,null,null,"by Hugues Pirotte"]
[]
[null,null,null,"Below is a list of the worksheets\nof the file, by order of appearance:\n(CTRL+h = back to \"Introduction\")",null,null,null,{"$f":"LEFT(R1,SEARCH(\".\",R1)-1)","v":"FundX VaR"}]
[null,null,1,"Introduction",null,null,null,"Matthew Mackenzie and Kevin Larsson from Monkey Holdings are managing an improbable fund,"]
[null,null,2,"Fund",null,null,null,"presented in the sheet \"Fund\"."]
[null,null,3,"Data (raw)",null,null,null,"An auditor has recently told them that they should report on the VaR of the fund."]
[null,null,4,"Data (restated)",null,null,null,"Question 1","Compute the VaR under the 3 methods: var-covar, historical simulations and MC simulations."]
[null,null,5,"Stats",null,null,null,"Question 2","What are the reasons of the differences appearing in the results between the 3 methods?"]
[null,null,6,"VarCovar",null,null,null,"The sheets present the following information:"]
[null,null,7,"Historical simulations",null,null,null,"Fund",null,null,"All the pricing information with the latest prices (cf Data) to give you a thorough view about the values in play."]
[null,null,8,"MC simulations (random data)",null,null,null,"Data (raw)",null,null,"The raw data dorectly downloaded from a market data source, here Bloomberg."]
[null,null,9,"MC simulations (calculations)",null,null,null,"Data (restated)",null,null,"An empty sheet to allow you to \"restate\" the data the way you need it before using it."]
[null,null,null,null,null,null,null,null,null,null,"For example, FX rates must be stated in EUR terms and in the right direction,"]
[null,null,null,null,null,null,null,null,null,null,"bond prices must be computed, etc…"]
[null,null,null,null,null,null,null,null,null,null,"The idea is to be able to compute easily the required \"stats\" in \"Stats\" thereafter."]
[null,null,null,null,null,null,null,"Stats",null,null,"Once the \"Data (restated)\" shows the data in the right format and order, you can easily compute returns, volatilities and correlations."]
[null,null,null,null,null,null,null,"VarCovar",null,null,"The simple sheet that you need to produce the var-covar estimates. Feel free to complement the VaR calculation as you wish…"]
[null,null,null,null,null,null,null,"Historical simulations",null,null,"Reprice the portfolio under the various scenarios inspired from past returns or changes in rates…"]
[null,null,null,null,null,null,null,"MC simulations (random data)",null,null,"2 sheets are available: this first sheet should allow you to produce the random values you need."]
[null,null,null,null,null,null,null,"MC simulations (calculations)",null,null,"This sheet can be used in the same way as for the historical simulation, i.e. repricing everything, but using the simulated scenarios this time."]
[]
[null,null,null,null,null,null,null,"Good luck and don't worry… I know the MC simulation won't be easy and is subject to many considerations."]
[null,null,null,null,null,null,null,"Keep it easy and I will come back to you to explain you what can be further done."]

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[]
[null,"C",null,"Current date: 6.04.2012 (April 6th, 2012)"]
[]
[null,null,null,"Asset","Description","Quantity\n(thousands shares)","Market value","Yield(%)",null,"Currency",null,null,null,"Year","US\nSpot rates","EU\nSpot rates","US Bond","EU Bond","US Bond","EU Bond"]
[null,null,null,1,"Fund replicating the MSCI Europe Index",2,500,null,{"$f":"F6*G6","v":1000},"EUR",{"$f":"F6*G6*VLOOKUP(J6,$E$27:$F$30,2,FALSE)","v":1000},"EUR",null,1,null,0.247,null,3,null,{"$f":"R6/(1+P6/100)^$N6","v":2.992608257603719}]
[null,null,null,2,"Nestlé",22,55.95,null,{"$f":"F7*G7","v":1230.9000000000001},"CHF",{"$f":"F7*G7*VLOOKUP(J7,$E$27:$F$30,2,FALSE)","v":1024.1591735557161},"EUR",null,2,null,0.13800000000000001,null,3,null,2.991737108117448]
[null,null,null,3,"Solvay",12,87.44,null,1049.28,"EUR",1049.28,"EUR",null,3,null,0.247,null,103,null,102.24052489220853]
[null,null,null,4,"Danone",20,51.63,null,1032.6000000000001,"EUR",1032.6000000000001,"EUR",null,10,2.0550000000000002,null,100,null,{"$f":"Q9/(1+O9/100)^$N9","v":81.593794346993803}]
[null,null,null,5,"Novartis",25,50.45,null,1261.25,"CHF",1049.4116156041489,"EUR",null,null,null,null,null,null,{"$f":"SUM(S6:S9)","v":81.593794346993803},{"$f":"SUM(T6:T9)","v":108.22487025792969}]
[null,null,null,6,"Repsol",57,18.085000000000001,null,1030.845,"EUR",1030.845,"EUR"]
[null,null,null,7,"Renault",27,37.975000000000001,null,1025.325,"EUR",1025.325,"EUR",null,null,null,null,null,null,null,{"$f":"-T10","v":-108.22487025792969}]
[null,null,null,8,"Daimler",24,42.854999999999997,null,1028.52,"EUR",1028.52,"EUR",null,null,null,null,null,null,null,{"$f":"R6","v":3}]
[null,null,null,9,"Henkel",19,53.67,null,1019.73,"EUR",1019.73,"EUR",null,null,null,null,null,null,null,{"$f":"R7","v":3}]
[null,null,null,10,"Siemens",14,73.88,null,1034.32,"EUR",1034.32,"EUR",null,null,null,null,null,null,null,103]
[null,null,null,11,"Luxxotica",38,26.79,null,1018.02,"EUR",1018.02,"EUR",null,null,null,null,null,null,null,{"$f":"IRR(T12:T15)","v":2.449352258228954E-3}]
[null,null,null,12,"Pirelli",115,9.01,null,1036.1499999999999,"EUR",1036.1499999999999,"EUR"]
[null,null,null,13,"Scania",65,135.69999999999999,null,8820.5,"SEK",1000.9630307249997,"EUR"]
[null,null,null,14,"EU ECB Bonds 3% (coupon) maturity 6.04.2015",1,{"$f":"T10/100*1000","v":1082.2487025792968},{"$f":"T16*100","v":0.2449352258228954},1082.2487025792968,"EUR",1082.2487025792968,"EUR"]
[null,null,null,15,"US Treasury 10y 0-coupon bonds",2,{"$f":"S10/100*1000","v":815.93794346993809},{"$f":"O9","v":2.0550000000000002},1631.8758869398762,"USD",1248.7571831495839,"EUR"]
[null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(K6:K20)","v":15680.329705613743},"EUR (thousands!)"]
[null,null,null,"All loans and bonds have a 1'000 nominal face value per security (in any currency)."]
[null,null,null,"Current foreign exchange (FX) rates are:",null,1.3068,"USD/EUR"]
[null,null,null,null,null,0.91969999999999996,"CHF/USD"]
[null,null,null,null,null,6.7431999999999999,"SEK/USD"]
[]
[null,null,null,null,"EUR",1,"EUR/EUR"]
[null,null,null,null,"USD",{"$f":"1/F23","v":0.76522803795531069},"EUR/USD"]
[null,null,null,null,"CHF",{"$f":"F28/F24","v":0.83204092416582665},"EUR/CHF"]
[null,null,null,null,"SEK",{"$f":"F28/F25","v":0.11348143877614644},"EUR/SEK"]

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[]
[null,null,null,"Type","INDEX","STOCKS",null,null,null,null,null,null,null,null,null,null,null,"FX",null,null,"IRs"]
[null,null,null,"Description","MSCI EUROPE","Nestlé","Solvay","Danone","Novartis","Repsol","Renault","Daimler","Henkel","Siemens","Luxxotica","Pirelli","Scania","USD/EUR","CHF/USD","SEK/USD","EUR 1Y","EUR2Y","EUR 3Y","USD 10Y"]
[null,null,null,"BB code","MXEU Index","NESN VX Equity","SOLB BB Equity","BN FP Equity","NOVN VX Equity","REP SM Equity","RNO FP Equity","DAI GY Equity","HEN3 GY Equity","SIE GY Equity","LUX IM Equity","PC IM Equity","SCVB SS Equity","EUR Curncy","CHF Curncy","SEK Curncy","GTEUR1Y Govt","GTEUR2Y Govt","GTEUR3Y Govt","GT10 Govt"]
[null,null,"Date","2009-04-10",65.56,39.54,65.075000000000003,35.055199999999999,42.5,14.47,22.66,24.46,20.25,45.82,12.7,2.5092400000000001,81,1.3189,1.1549,8.2446999999999999,0.96599999999999997,1.3860000000000001,1.81,2.9239999999999999]
[null,null,null,"2009-04-17",68.66,38.299999999999997,63.98,34.706000000000003,42.58,14.49,24.1,26.65,19.93,48.16,13.02,2.56603,84.25,1.3044,1.1651,8.4512999999999998,1.028,1.4670000000000001,1.8559999999999999,2.9470000000000001]
[null,null,null,"2009-04-24",68.37,37.78,64.650000000000006,34.762599999999999,42.46,14.39,23.305,27.265000000000001,19.78,49.31,14.07,3.2010800000000001,85.75,1.3242,1.1385000000000001,8.1170000000000009,0.93200000000000005,1.3759999999999999,1.7709999999999999,2.992]
[null,null,null,"2009-05-01",69.98,37.36,65.23,34.0974,43.4,14.47,24.57,27.145,20.53,51.03,14.04,3.0720100000000001,86.25,1.3272999999999999,1.1358999999999999,8.0356000000000005,0.879,1.329,1.7090000000000001,3.1549999999999998]
[null,null,null,"2009-05-08",73.12,39.42,66.55,36.324300000000001,42.68,15.43,26.035,27.66,22.25,52.67,15.96,3.0461900000000002,89,1.3633999999999999,1.1053999999999999,7.6498999999999997,0.81499999999999995,1.3049999999999999,1.7370000000000001,3.2869999999999999]
[null,null,null,"2009-05-15",70.83,40.36,61.21,36.588500000000003,44.08,14.9,23.98,25.045000000000002,21.86,50.51,15.37,2.81386,79.75,1.3494999999999999,1.1213,7.9187000000000003,0.79500000000000004,1.2589999999999999,1.655,3.1360000000000001]
[null,null,null,"2009-05-22",72.239999999999995,39.94,64.954999999999998,36.923499999999997,43.66,15.43,26.265000000000001,25,22.17,52.89,14.61,2.9326099999999999,78,1.3997999999999999,1.0854999999999999,7.4527000000000001,0.90700000000000003,1.3080000000000001,1.7210000000000001,3.4510000000000001]
[null,null,null,"2009-05-29",72.72,38.700000000000003,64.599999999999994,33.149099999999997,42.5,15.83,27.06,25.85,21.75,51.44,14.66,2.94293,76.25,1.4157999999999999,1.0669,7.5457999999999998,0.86799999999999999,1.419,1.7490000000000001,3.4609999999999999]
[null,null,null,"2009-06-05",73.569999999999993,38.78,61,33.409999999999997,42.76,16.38,30.76,27.73,22.58,54.5,14.95,2.9171200000000002,78.5,1.3968,1.0853999999999999,7.8018999999999998,1.0740000000000001,1.6739999999999999,1.9910000000000001,3.83]
[null,null,null,"2009-06-12",74.77,39.24,61.585000000000001,34.215000000000003,45,16.59,30.45,27.805,22.84,54.1,14.8,2.9739100000000001,81.25,1.4016,1.0790999999999999,7.6894,1.022,1.6819999999999999,2.0049999999999999,3.794]
[null,null,null,"2009-06-19",72.7,40.14,60.19,35.42,45.46,15.92,27.024999999999999,24.43,22.59,50.65,14.14,2.6486399999999999,76.5,1.3936999999999999,1.0811999999999999,7.9129000000000005,0.89800000000000002,1.4530000000000001,1.819,3.7829999999999999]
[null,null,null,"2009-06-26",71.28,40.840000000000003,59.64,35.674999999999997,44.6,15.8,25.785,25.79,21.84,48.85,14.67,2.5556999999999999,77.25,1.4056,1.0833999999999999,7.8002000000000002,0.82399999999999995,1.3240000000000001,1.6919999999999999,3.5380000000000003]
[null,null,null,"2009-07-03",71.14,41.14,59.02,35.79,43.4,16.600000000000001,25.11,24.995000000000001,22.85,47.37,15.16,2.5185300000000002,75.5,1.3980000000000001,1.0866,7.7705000000000002,0.80500000000000005,1.2370000000000001,1.6160000000000001,3.5]
[null,null,null,"2009-07-10",68.790000000000006,40.92,57.52,35.174999999999997,42.56,15.17,22.395,24.234999999999999,21.79,46.43,14.35,2.3656999999999999,71.75,1.3935999999999999,1.0865,7.9256000000000002,0.754,1.1990000000000001,1.5649999999999999,3.3039999999999998]
[null,null,null,"2009-07-17",73.45,43.5,62.4,36.49,45.7,16.329999999999998,25.99,28.95,22.77,51.62,15.46,2.6331500000000001,81.75,1.4102000000000001,1.0766,7.8164999999999996,0.71499999999999997,1.2530000000000001,1.641,3.645]
[null,null,null,"2009-07-24",76.58,42.78,63.98,36.78,47.18,16.63,28.05,31.305,24.48,55.1,16.13,2.85,83.5,1.4201999999999999,1.0717000000000001,7.4871999999999996,0.74099999999999999,1.3240000000000001,1.714,3.66]
[null,null,null,"2009-07-31",78.37,43.98,68.77,37.645000000000003,48.94,16.29,29.92,32.47,25.8,56,17.559999999999999,3.0203799999999998,84.5,1.4257,1.0685,7.1914999999999996,0.68700000000000006,1.2629999999999999,1.635,3.4809999999999999]
[null,null,null,"2009-08-07",80.28,44.12,70.489999999999995,36.924999999999997,48.36,16.204999999999998,32.799999999999997,33.58,26.93,59.02,17.53,3.2785299999999999,86.25,1.4182999999999999,1.0810999999999999,7.1597999999999997,0.83799999999999997,1.581,1.9630000000000001,3.8519999999999999]
[null,null,null,"2009-08-14",79.53,42.2,70.150000000000006,36.604999999999997,48.1,16.504999999999999,31.85,32.01,26.89,57.12,17.7,3.3353199999999998,84.75,1.4203000000000001,1.0719000000000001,7.1936999999999998,0.70199999999999996,1.2989999999999999,1.7050000000000001,3.5709999999999997]
[null,null,null,"2009-08-21",81.73,43.3,72.290000000000006,37.200000000000003,48.24,17.100000000000001,33.984999999999999,32.96,27.17,59.12,17.37,3.3508100000000001,92.5,1.4325999999999999,1.0583,7.0404999999999998,0.73199999999999998,1.375,1.7669999999999999,3.5670000000000002]
[null,null,null,"2009-08-28",82.61,42.9,73.739999999999995,38.119999999999997,49.16,17.489999999999998,32.58,31.965,27.62,61.03,17,3.50054,89.75,1.4302999999999999,1.0597000000000001,7.1131000000000002,0.67800000000000005,1.2549999999999999,1.6879999999999999,3.4470000000000001]
[null,null,null,"2009-09-04",81.33,43.32,72.55,37.520000000000003,48.7,16.86,30.27,31.83,26.14,60.25,17.05,3.2785299999999999,84.75,1.4297,1.0606,7.1643999999999997,0.64700000000000002,1.0940000000000001,1.552,3.44]
[null,null,null,"2009-09-11",84.02,43.74,73.650000000000006,40.1,49.54,17.73,33.305,33.505000000000003,28.07,63.76,17.43,3.71739,88.5,1.4571000000000001,1.0384,6.9999000000000002,0.63900000000000001,1.1990000000000001,1.4769999999999999,3.3490000000000002]
[null,null,null,"2009-09-18",85.14,44.36,77.260000000000005,41.295000000000002,49.2,18.77,32.5,33.44,27.37,66.45,18.059999999999999,3.8980899999999998,87.25,1.4712000000000001,1.0295000000000001,6.8620000000000001,0.69899999999999995,1.288,1.577,3.4649999999999999]
[null,null,null,"2009-09-25",83.09,43.98,74.73,40.65,50.35,18.600000000000001,31.13,33.659999999999997,28.51,63.53,17.57,3.7070600000000002,87,1.4689000000000001,1.0276000000000001,6.9474,0.70199999999999996,1.2150000000000001,1.7730000000000001,3.32]
[null,null,null,"2009-10-02",81.39,43.24,68.959999999999994,39.92,51.2,17.995000000000001,30.754999999999999,32.784999999999997,28.25,60.2,17.420000000000002,3.6451099999999999,83.5,1.4576,1.0349999999999999,7.0369999999999999,0.69899999999999995,1.204,1.722,3.2210000000000001]
[null,null,null,"2009-10-09",84.33,43.1,70.75,40.950000000000003,51.45,18.39,33.825000000000003,34.725000000000001,30.85,64.739999999999995,17.95,4.1097799999999998,87,1.4732000000000001,1.0314000000000001,6.9923999999999999,0.82,1.37,1.845,3.3820000000000001]
[null,null,null,"2009-10-16",85.35,43.4,72.42,40.619999999999997,51.95,18.645,35.695,35.159999999999997,31.72,66.56,17.89,4.3369499999999999,90.5,1.4904999999999999,1.0182,6.9553000000000003,0.84399999999999997,1.4159999999999999,1.879,3.4129999999999998]
[null,null,null,"2009-10-23",85.19,46.46,70.34,41.25,52.4,18.64,35.045000000000002,36.875,31.25,65.55,17.23,4.2130400000000003,96.25,1.5007999999999999,1.0087999999999999,6.7839999999999998,0.86499999999999999,1.3780000000000001,1.8519999999999999,3.492]
[null,null,null,"2009-10-30",82.48,47.82,66.849999999999994,40.954999999999998,53.75,18.164999999999999,30.6,33.08,30.96,61.47,16.53,3.9548899999999998,92.6,1.4719,1.0263,7.0956999999999999,0.82399999999999995,1.288,1.7610000000000001,3.3849999999999998]
[null,null,null,"2009-11-06",83.85,47.68,68.349999999999994,41.38,53.55,18.5,31.635000000000002,33.21,31.25,61.96,16.600000000000001,4.1923899999999996,91.2,1.4847000000000001,1.0173000000000001,6.9893999999999998,0.78800000000000003,1.276,1.776,3.4990000000000001]
[null,null,null,"2009-11-13",86.15,47.57,71.87,42.58,54.05,18.7,32.615000000000002,34.299999999999997,32.21,63.85,16.91,4.3163,97,1.4903,1.0125,6.8422000000000001,0.754,1.198,1.6909999999999998,3.42]
[null,null,null,"2009-11-20",84.73,47.79,70.67,41.295000000000002,53.95,18.344999999999999,31.99,34.975000000000001,33.06,64.099999999999994,16.79,4.2130400000000003,96.35,1.4862,1.0179,6.9306000000000001,0.79900000000000004,1.3240000000000001,1.6560000000000001,3.367]
[null,null,null,"2009-11-27",84.36,48.29,71.5,40.28,55.65,18.504999999999999,32.164999999999999,34.625,33.78,65.72,16.89,4.3059700000000003,98.65,1.4988000000000001,1.006,6.9645999999999999,0.79500000000000004,1.25,1.5880000000000001,3.2069999999999999]
[null,null,null,"2009-12-04",86.58,49.9,75.45,41.2,56.8,18.844999999999999,35.585000000000001,35.909999999999997,35.39,63.5,17.36,4.4608699999999999,102,1.4858,1.0166999999999999,6.9890999999999996,0.80300000000000005,1.345,1.6760000000000002,3.4740000000000002]
[null,null,null,"2009-12-11",85.23,50.1,73.09,41.465000000000003,55.8,18.420000000000002,35.19,35.185000000000002,36.369999999999997,61.8,17.3,4.4247199999999998,96.75,1.4615,1.0344,7.1245000000000003,0.79400000000000004,1.26,1.579,3.552]
[null,null,null,"2009-12-18",85.58,49.99,74.08,41.715000000000003,56.5,18.495000000000001,34.619999999999997,36.744999999999997,36.82,61.72,17.510000000000002,4.3369499999999999,92.75,1.4338,1.0427,7.2628000000000004,0.77100000000000002,1.149,1.446,3.5390000000000001]
[null,null,null,"2009-12-25",87.63,50.85,74.5,42.35,56.9,18.600000000000001,35.950000000000003,37.42,36.869999999999997,63.92,18.02,4.3576100000000002,93.4,1.4411,1.036,7.2618999999999998,0.79700000000000004,1.1879999999999999,1.512,3.8050000000000002]
[null,null,null,"2010-01-01",88.28,50.2,75.55,42.83,56.5,18.725000000000001,36.200000000000003,37.229999999999997,36.43,64.209999999999994,18.05,4.3369499999999999,92.3,1.4323999999999999,1.0351999999999999,7.1607000000000003,0.82299999999999995,1.3320000000000001,1.63,3.8369999999999997]
[null,null,null,"2010-01-08",90,49.11,75.72,42.65,53.8,18.79,39.384999999999998,36.935000000000002,35.729999999999997,66.95,18.77,4.5692899999999996,96.5,1.4409000000000001,1.0237000000000001,7.0763999999999996,0.70199999999999996,1.244,1.5569999999999999,3.8319999999999999]
[null,null,null,"2010-01-15",89.04,49.12,72.33,42.604999999999997,54.15,18.38,38.604999999999997,36.49,37.234999999999999,66.430000000000007,18.8,4.6312499999999996,95.85,1.4386999999999999,1.0253000000000001,7.0651999999999999,0.67500000000000004,1.135,1.6890000000000001,3.6760000000000002]
[null,null,null,"2010-01-22",86.77,50.55,70.66,42.715000000000003,56.25,17.399999999999999,35.700000000000003,34.18,36.68,64.78,18.8,4.3317899999999998,94,1.4138999999999999,1.0411999999999999,7.2401,0.67100000000000004,1.1120000000000001,1.6360000000000001,3.609]
[null,null,null,"2010-01-29",85.7,50.5,71.7,41.445,56.85,17.145,34.26,33.424999999999997,36.884999999999998,65.03,18.96,4.3679300000000003,91.55,1.3862999999999999,1.0606,7.3876999999999997,0.67400000000000004,1.1179999999999999,1.615,3.5859999999999999]
[null,null,null,"2010-02-05",82.4,48.35,69.81,40.119999999999997,57.15,15.82,32.145000000000003,32.32,35.295000000000002,61.67,17.95,4.0374999999999996,98.25,1.3677999999999999,1.0726,7.4455,0.61899999999999999,0.98899999999999999,1.47,3.5670000000000002]
[null,null,null,"2010-02-12",83.69,50.35,70.39,41.734999999999999,57.65,16.23,29.555,32.46,36.590000000000003,62.14,18.3,3.8877699999999997,96.4,1.3632,1.0753999999999999,7.2522000000000002,0.60899999999999999,0.98299999999999998,1.4849999999999999,3.6949999999999998]
[null,null,null,"2010-02-19",86.92,52.7,72.14,43.74,59.9,17.09,32.29,32.299999999999997,36.814999999999998,65.34,18.95,4.0684699999999996,98.75,1.3613,1.0757000000000001,7.2159000000000004,0.62,1.0860000000000001,1.522,3.7749999999999999]
[null,null,null,"2010-02-26",85.37,53.45,70.23,42.95,59.75,16.635000000000002,30.2,30.66,37.835000000000001,62.99,19.2,3.7948300000000001,100.7,1.3631,1.0734999999999999,7.1223000000000001,0.55800000000000005,0.95499999999999996,1.3660000000000001,3.6139999999999999]
[null,null,null,"2010-03-05",89.26,52.9,73.790000000000006,44.185000000000002,58.35,17.675000000000001,32.89,32.984999999999999,38.299999999999997,67.459999999999994,18.82,4.2182000000000004,109.4,1.3626,1.0742,7.1128999999999998,0.58599999999999997,1,1.411,3.6819999999999999]
[null,null,null,"2010-03-12",89.7,53.75,73.62,43.965000000000003,58,17.760000000000002,33.9,33.534999999999997,37.92,68.38,19.28,4.47119,115.1,1.3769,1.0578000000000001,7.0491000000000001,0.63300000000000001,1.0489999999999999,1.4510000000000001,3.702]
[null,null,null,"2010-03-19",90.34,53.15,73.53,43.58,58.25,17.86,34.125,34.375,38.1,71.28,19.63,4.52799,116.5,1.353,1.0612999999999999,7.1744000000000003,0.63300000000000001,1.0029999999999999,1.395,3.6909999999999998]
[null,null,null,"2010-03-26",91.43,53.75,75.959999999999994,43.564999999999998,57.55,17.88,35.545000000000002,34.979999999999997,39.340000000000003,73.3,20.09,4.7190200000000004,116.9,1.341,1.0651999999999999,7.2599,0.61,1,1.3940000000000001,3.8490000000000002]
[null,null,null,"2010-04-02",92.8,53.8,77.09,45.46,56.7,17.989999999999998,35.5,35.405000000000001,40.65,75.739999999999995,19.98,4.6054300000000001,114.9,1.3504,1.0605,7.1821999999999999,0.63900000000000001,0.95499999999999996,1.3260000000000001,3.9470000000000001]
[null,null,null,"2010-04-09",93.5,53.2,78.45,46.015000000000001,56.85,18.649999999999999,35.765000000000001,35.36,41.055,74.84,20.399999999999999,4.4970100000000004,117.1,1.35,1.0657000000000001,7.1988000000000003,0.65900000000000003,0.96799999999999997,1.345,3.8839999999999999]
[null,null,null,"2010-04-16",92.91,53.05,78.27,45.555,56.55,18.12,34.46,36.54,40.295000000000002,71.13,20.7,4.53315,124.6,1.3503000000000001,1.0613999999999999,7.1756000000000002,0.60599999999999998,0.88900000000000001,1.2530000000000001,3.7640000000000002]
[null,null,null,"2010-04-23",92.7,53.25,76.05,44.7,55.95,18.074999999999999,36.715000000000003,38.869999999999997,40.61,72.83,21.89,4.5434700000000001,126.4,1.3384,1.0730999999999999,7.1673,0.60299999999999998,0.90200000000000002,1.2570000000000001,3.8109999999999999]
[null,null,null,"2010-04-30",90.16,52.85,72,44.38,55.05,17.725000000000001,35.409999999999997,38.814999999999998,40.225000000000001,74.34,20.52,4.4918399999999998,127.7,1.3294000000000001,1.0775999999999999,7.2519,0.58799999999999997,0.77100000000000002,1.111,3.6550000000000002]
[null,null,null,"2010-05-07",82.32,50.2,67.849999999999994,40.159999999999997,52.1,15.54,30.995000000000001,35.85,36.875,68.25,19.350000000000001,4.2130400000000003,111.2,1.2755000000000001,1.1080000000000001,7.6471999999999998,0.38300000000000001,0.53200000000000003,0.80400000000000005,3.427]
[null,null,null,"2010-05-14",86.12,52.3,69.22,41.875,53.1,16.28,31.355,40.575000000000003,38.28,73.959999999999994,20.49,4.6209199999999999,115.7,1.2358,1.1335999999999999,7.7455999999999996,0.38300000000000001,0.55600000000000005,0.75800000000000001,3.4550000000000001]
[null,null,null,"2010-05-21",82.31,51.1,69.290000000000006,40.369999999999997,51.25,16.73,28.785,38.83,36.450000000000003,71.099999999999994,19.5,4.4143999999999997,110.1,1.2570000000000001,1.1496999999999999,7.8116000000000003,0.38500000000000001,0.51200000000000001,0.65900000000000003,3.24]
[null,null,null,"2010-05-28",84.69,52.5,71.13,41.954999999999998,52.6,16.8,29.155000000000001,40.299999999999997,37.905000000000001,73.45,19.39,4.3627700000000003,115.5,1.2273000000000001,1.1591,7.8498000000000001,0.36399999999999999,0.51900000000000002,0.69,3.294]
[null,null,null,"2010-06-04",84.87,53.35,70.930000000000007,42.84,52.55,16.215,29.195,40.380000000000003,38.83,72.7,20.3,4.6519000000000004,116.4,1.1967000000000001,1.1620999999999999,8.0460999999999991,0.39600000000000002,0.47599999999999998,0.60399999999999998,3.2040000000000002]
[null,null,null,"2010-06-11",86.53,54,72.09,43.28,55.5,17.094999999999999,30.62,42.734999999999999,40.475000000000001,74.349999999999994,21.18,4.8739100000000004,122,1.2112000000000001,1.1494,7.9137000000000004,0.38900000000000001,0.46400000000000002,0.58499999999999996,3.2359999999999998]
[null,null,null,"2010-06-18",88.59,53.05,74.709999999999994,43.994999999999997,54.05,17.824999999999999,32.89,43.12,41.53,77.260000000000005,21.34,4.9823300000000001,126.5,1.2387999999999999,1.1085,7.7279999999999998,0.45300000000000001,0.58099999999999996,0.7,3.2210000000000001]
[null,null,null,"2010-06-25",86.11,52.2,72,44.24,53.2,16.895,31.355,42.015000000000001,40.255000000000003,75.12,20.260000000000002,4.7758099999999999,123.8,1.2368999999999999,1.0929,7.7270000000000003,0.52600000000000002,0.56899999999999995,0.66800000000000004,3.11]
[null,null,null,"2010-07-02",82.25,50.35,68.92,44.32,51.05,16.579999999999998,30.17,40.28,38.75,71.72,18.96,4.5847800000000003,117.5,1.2565999999999999,1.0627,7.6226000000000003,0.57399999999999995,0.66600000000000004,0.76600000000000001,2.9790000000000001]
[null,null,null,"2010-07-09",86.68,51.95,71.3,45.494999999999997,52.25,17.59,33.454999999999998,41.634999999999998,39.03,73.22,19.63,4.9255399999999998,125.3,1.2641,1.0578000000000001,7.4928999999999997,0.67400000000000004,0.76800000000000002,0.85799999999999998,3.0539999999999998]
[null,null,null,"2010-07-16",86.03,53.05,70.02,45.094999999999999,52.4,17.489999999999998,33.92,43.05,38.54,74.23,19.18,4.9461899999999996,126.4,1.2929999999999999,1.0509999999999999,7.3338999999999999,0.74099999999999999,0.77600000000000002,0.85899999999999999,2.923]
[null,null,null,"2010-07-23",88.74,53.7,73.59,46.145000000000003,51.8,18.149999999999999,34.895000000000003,42.484999999999999,40.164999999999999,76.42,20.18,5.0907600000000004,134.9,1.2908999999999999,1.0543,7.3074000000000003,0.67100000000000004,0.749,0.874,2.996]
[null,null,null,"2010-07-30",88.5,51.5,75.099999999999994,43.04,50.55,18.105,34.234999999999999,41.375,38.085000000000001,74.790000000000006,19.96,5.0363100000000003,133.1,1.3052000000000001,1.0411999999999999,7.2103999999999999,0.68700000000000006,0.78400000000000003,0.91300000000000003,2.907]
[null,null,null,"2010-08-06",89.67,50.55,74.58,42.435000000000002,51.75,18.600000000000001,33.715000000000003,40.965000000000003,38.984999999999999,76.34,19.739999999999998,5.1865100000000002,136.5,1.3280000000000001,1.0387999999999999,7.0827999999999998,0.72199999999999998,0.746,0.84699999999999998,2.8180000000000001]
[null,null,null,"2010-08-13",88.67,52.5,71.72,42.825000000000003,53,18.07,33.159999999999997,39.145000000000003,38.53,75,19.36,4.8955000000000002,130.69999999999999,1.2753999999999999,1.0509999999999999,7.4501999999999997,0.59499999999999997,0.65500000000000003,0.70299999999999996,2.673]
[null,null,null,"2010-08-20",87.44,52.15,71.47,41.255000000000003,52.35,17.84,32.465000000000003,39.229999999999997,37.24,73.38,18.3,4.9377399999999998,131,1.2711999999999999,1.0339,7.4166999999999996,0.57499999999999996,0.61,0.64700000000000002,2.6120000000000001]
[null,null,null,"2010-08-27",87.17,52.4,72.239999999999995,42.59,53.3,18.09,32.54,38.405000000000001,37.375,72.25,18.27,4.9518199999999997,135.1,1.2763,1.028,7.3391000000000002,0.58399999999999996,0.63300000000000001,0.67400000000000004,2.6459999999999999]
[null,null,null,"2010-09-03",90.33,53.9,75.45,43.31,54.05,18.809999999999999,34.424999999999997,41.655000000000001,38.24,74.63,18.850000000000001,5.1348799999999999,140.30000000000001,1.2896000000000001,1.0164,7.2320000000000002,0.58799999999999997,0.64100000000000001,0.72199999999999998,2.6989999999999998]
[null,null,null,"2010-09-10",91.82,53.75,77.650000000000006,44.53,55.2,18.895,35.89,43.78,39.215000000000003,75.790000000000006,19.420000000000002,5.2944599999999999,141.6,1.2679,1.0198,7.2575000000000003,0.62,0.73599999999999999,0.78400000000000003,2.794]
[null,null,null,"2010-09-17",91.15,52.1,76.98,43.244999999999997,56.25,18.585000000000001,36.104999999999997,44.475000000000001,39.715000000000003,77.150000000000006,20.07,5.4587399999999997,144.30000000000001,1.3049999999999999,1.0098,7.0713999999999997,0.64500000000000002,0.77400000000000002,0.82199999999999995,2.7389999999999999]
[null,null,null,"2010-09-24",91.54,52.7,76.66,43.6,56.6,19.260000000000002,37.335000000000001,46.13,39.975000000000001,79.28,19.809999999999999,5.6136299999999997,150.4,1.3492,0.98309999999999997,6.806,0.65500000000000003,0.72899999999999998,0.91600000000000004,2.6070000000000002]
[null,null,null,"2010-10-01",89.81,52.3,78.12,43.765000000000001,55.95,19.829999999999998,36.840000000000003,45.515000000000001,39.4,76.72,19.77,5.59016,147.1,1.3791,0.9738,6.7129000000000003,0.76800000000000002,0.85299999999999998,1.0089999999999999,2.512]
[null,null,null,"2010-10-08",90.88,52.5,78.040000000000006,43.454999999999998,56.05,20.16,38.645000000000003,45.435000000000002,41.2,77,19.809999999999999,5.6277100000000004,144.19999999999999,1.3938999999999999,0.96279999999999999,6.6561000000000003,0.753,0.78600000000000003,0.93300000000000005,2.3940000000000001]
[null,null,null,"2010-10-15",92.12,52.35,80.64,43.87,56.85,19.774999999999999,39.229999999999997,47.725000000000001,41.65,81.06,20.23,5.9985099999999996,145.69999999999999,1.3976999999999999,0.95889999999999997,6.6208,0.78400000000000003,0.81399999999999995,0.96699999999999997,2.5609999999999999]
[null,null,null,"2010-10-22",92.4,52.65,81.25,45.56,56.85,19.614999999999998,42.71,49.305,42.73,83.48,20.9,6.1768700000000001,152.30000000000001,1.3954,0.97729999999999995,6.6235999999999997,0.92300000000000004,1.0029999999999999,1.1599999999999999,2.556]
[null,null,null,"2010-10-29",92.17,53.9,76.09,45.475000000000001,57.05,19.925000000000001,39.924999999999997,47.43,42.38,82.08,21.23,6.1349999999999998,142,1.3947000000000001,0.98240000000000005,6.6702000000000004,0.94399999999999995,0.98899999999999999,1.17,2.601]
[null,null,null,"2010-11-05",94.29,55.8,78.290000000000006,46.4,56.25,19.96,40.5,48.94,42.115000000000002,83.9,20.85,6.1449999999999996,148.5,1.4032,0.9617,6.6143000000000001,0.91600000000000004,0.91500000000000004,1.07,2.532]
[null,null,null,"2010-11-12",93.71,54.9,76.22,46.125,54.7,19.600000000000001,41.465000000000003,49.88,45.93,86,20.59,5.88,146,1.3691,0.98089999999999999,6.8677000000000001,0.94099999999999995,1.024,1.1439999999999999,2.7890000000000001]
[null,null,null,"2010-11-19",93.41,55.55,76.680000000000007,46.98,56.3,19.829999999999998,43.155000000000001,50.74,47.075000000000003,85.49,20.56,6.09,145.4,1.3673,0.99229999999999996,6.8593000000000002,0.95299999999999996,1.107,1.2530000000000001,2.8730000000000002]
[null,null,null,"2010-11-26",92.37,56.6,76.53,45.774999999999999,55,18.829999999999998,42.994999999999997,51.54,47.465000000000003,85.87,20.6,6.0949999999999998,144.80000000000001,1.3242,1.0036,7.0044000000000004,0.85899999999999999,0.92800000000000005,1.111,2.8679999999999999]
[null,null,null,"2010-12-03",93.8,55.2,77.55,46.384999999999998,53.45,19.82,43.835000000000001,53.95,47.99,89.7,21.34,6.1950000000000003,155.19999999999999,1.3413999999999999,0.97350000000000003,6.7969999999999997,0.83399999999999996,0.85799999999999998,1.06,3.0070000000000001]
[null,null,null,"2010-12-10",95.62,55.55,76.69,46.994999999999997,53.5,21.03,44.02,54.87,45.564999999999998,90.43,21.69,6.14,154.9,1.3226,0.98109999999999997,6.9119000000000002,0.82599999999999996,1.0780000000000001,1.256,3.3210000000000002]
[null,null,null,"2010-12-17",95.63,55.95,79.290000000000006,47.2,56.75,20.8,43.11,53.68,45.98,92.38,21.96,6.12,156,1.3188,0.96860000000000002,6.8425000000000002,0.78700000000000003,1.0580000000000001,1.2709999999999999,3.33]
[null,null,null,"2010-12-24",97.4,56.6,80,48.155000000000001,56.5,21.175000000000001,43.725000000000001,54.07,46.715000000000003,94.78,23,6.2149999999999999,157.30000000000001,1.3122,0.96230000000000004,6.8512000000000004,0.73299999999999998,0.94299999999999995,1.1539999999999999,3.395]
[null,null,null,"2010-12-31",95.38,54.75,79.75,47.02,54.95,20.85,43.5,50.73,46.534999999999997,92.7,22.8,6.05,154.69999999999999,1.3384,0.93520000000000003,6.7114000000000003,0.68300000000000005,0.86399999999999999,1.0389999999999999,3.2949999999999999]
[null,null,null,"2011-01-07",97.24,53.7,78.62,46.17,55.2,20.58,47.25,54.53,45.98,89.72,23.15,6.0449999999999999,156.19999999999999,1.2907,0.96730000000000005,6.9374000000000002,0.70399999999999996,0.86599999999999999,1.05,3.3260000000000001]
[null,null,null,"2011-01-14",98.15,51.75,77.27,45.255000000000003,54.55,22.504999999999999,48.715000000000003,55.95,47.305,91.07,23.13,5.88,155.9,1.3388,0.96340000000000003,6.6586999999999996,0.79,1.151,1.4790000000000001,3.3250000000000002]
[null,null,null,"2011-01-21",97.33,52.6,77.599999999999994,44.81,54.2,22.625,47.05,54.78,44.7,92.35,22.2,5.7850000000000001,144.19999999999999,1.3620999999999999,0.95840000000000003,6.5857999999999999,0.96799999999999997,1.2889999999999999,1.6659999999999999,3.4060000000000001]
[null,null,null,"2011-01-28",97.05,51.35,76.88,43.945,52.8,23,47.784999999999997,54.8,44.57,93.79,22.31,5.61,145,1.3611,0.94189999999999996,6.5280000000000005,1.022,1.3620000000000001,1.7330000000000001,3.323]
[null,null,null,"2011-02-04",98.94,51.9,77.209999999999994,44.97,53.75,23.555,47.47,52.69,44.86,93.24,21.78,5.64,140,1.3580999999999999,0.95499999999999996,6.4813000000000001,1.0509999999999999,1.4350000000000001,1.8029999999999999,3.6379999999999999]
[null,null,null,"2011-02-11",99.65,51.9,78.37,43.585000000000001,54.4,23.48,46.6,56.51,44.465000000000003,94.68,22.03,6.1150000000000002,139,1.3553999999999999,0.97319999999999995,6.4817999999999998,1.0760000000000001,1.4060000000000001,1.8010000000000002,3.6310000000000002]
[null,null,null,"2011-02-18",100.76,52.25,83.9,45.835000000000001,54.3,24.574999999999999,44.99,52.63,45.3,98,22.07,6.0049999999999999,135.9,1.3693,0.9446,6.3879000000000001,1.0640000000000001,1.3959999999999999,1.7749999999999999,3.5819999999999999]
[null,null,null,"2011-02-25",98.37,52.25,83.78,45.284999999999997,51.25,24.155000000000001,42.95,51.07,43.524999999999999,94.16,22.32,5.78,138,1.3754,0.92820000000000003,6.4245999999999999,1.141,1.536,1.778,3.4140000000000001]
[null,null,null,"2011-03-04",97.57,51.95,85.42,44.87,52.75,24.024999999999999,42.164999999999999,48.234999999999999,45.76,95.4,22.52,5.7850000000000001,136.5,1.3987000000000001,0.92449999999999999,6.3461999999999996,1.2929999999999999,1.76,2.0070000000000001,3.492]
[null,null,null,"2011-03-11",95.28,51.6,81.73,44.27,50.75,23.46,40.75,47.79,44.365000000000002,91.26,22.97,6.0449999999999999,134.5,1.3902999999999999,0.92979999999999996,6.3349000000000002,1.268,1.647,1.923,3.4039999999999999]
[null,null,null,"2011-03-18",92.56,49.74,78.790000000000006,43.005000000000003,48.62,23.2,38.14,45.9,41.72,90.4,21.63,5.93,134.30000000000001,1.4182000000000001,0.90100000000000002,6.2717999999999998,1.218,1.629,1.889,3.27]
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[null,null,null,"2011-04-01",96.9,52.85,83.86,46.435000000000002,50.05,24.54,39.945,51.59,44.41,99.38,23.17,6.2450000000000001,148,1.4237,0.92379999999999995,6.2952000000000004,1.3140000000000001,1.8169999999999999,2.0840000000000001,3.444]
[null,null,null,"2011-04-08",97.46,53.05,89.56,46.854999999999997,50.75,24.65,39.865000000000002,52.04,44.47,96.28,22.57,6.48,146.5,1.4482999999999999,0.90649999999999997,6.2028999999999996,1.4430000000000001,1.903,2.1989999999999998,3.5789999999999997]
[null,null,null,"2011-04-15",96.06,54.5,91.44,48.594999999999999,50.05,23.2,37.215000000000003,49.47,44.02,94.68,22,6.48,141.9,1.4430000000000001,0.89219999999999999,6.1848000000000001,1.4239999999999999,1.8420000000000001,2.1179999999999999,3.41]
[null,null,null,"2011-04-22",96.94,53.85,95.01,48.92,50.95,23.47,38.395000000000003,51.3,45.774999999999999,95.97,23.12,6.7549999999999999,147.6,1.4560999999999999,0.8861,6.1059000000000001,1.371,1.7530000000000001,2.024,3.3929999999999998]
[null,null,null,"2011-04-29",98.1,53.7,97.39,49.454999999999998,51.35,24.11,41.14,52.19,45.98,98.22,22.29,7.0250000000000004,157,1.4807000000000001,0.86529999999999996,6.0419,1.41,1.7669999999999999,2.028,3.2879999999999998]
[null,null,null,"2011-05-06",97.16,54.15,98.83,49.89,52.75,23.225000000000001,40.634999999999998,51.33,48.95,95.95,22.46,6.96,150,1.4316,0.879,6.3090000000000002,1.476,1.7570000000000001,2.0110000000000001,3.1480000000000001]
[null,null,null,"2011-05-13",96.8,54.75,106.35,49.88,54.25,22.62,40.78,50.56,48.91,93.13,22.85,7.0350000000000001,154.80000000000001,1.4118999999999999,0.89249999999999996,6.3883999999999999,1.44,1.774,1.917,3.1709999999999998]
[null,null,null,"2011-05-20",96.52,54.65,103.4,50.62,54.1,22.364999999999998,39.475000000000001,48.85,49.255000000000003,91.75,22.54,6.79,152.6,1.4161000000000001,0.87739999999999996,6.3083,1.4450000000000001,1.7669999999999999,1.911,3.1459999999999999]
[null,null,null,"2011-05-27",96.32,54.45,101,49.75,53.95,22.945,39.064999999999998,48.08,48.585000000000001,90,22,6.835,149.1,1.4319,0.84940000000000004,6.2195,1.339,1.5590000000000002,1.7330000000000001,3.0739999999999998]
[null,null,null,"2011-06-03",94.37,54.15,104.05,50.36,53.15,22.72,38.164999999999999,47.57,48.125,91,21.95,6.76,147.19999999999999,1.4635,0.83350000000000002,6.1315,1.4060000000000001,1.6879999999999999,1.857,2.9870000000000001]
[null,null,null,"2011-06-10",92.51,52.75,105.35,49.86,51.2,22.04,36.4,46.585000000000001,47.564999999999998,89.46,21.06,6.6550000000000002,139.9,1.4346999999999999,0.84299999999999997,6.3273000000000001,1.393,1.534,1.679,2.9699999999999998]
[null,null,null,"2011-06-17",92.19,52.55,105.45,52.72,51.45,22.43,37.020000000000003,47.34,47.11,92.01,21.12,6.7549999999999999,138.1,1.4306000000000001,0.84819999999999995,6.4142000000000001,1.4319999999999999,1.51,1.6480000000000001,2.9449999999999998]
[null,null,null,"2011-06-24",91.12,51.75,104.85,51.95,49.94,22.035,39.164999999999999,49.02,47.325000000000003,92.36,21.37,6.9550000000000001,134.1,1.4188000000000001,0.83309999999999995,6.4973000000000001,1.3420000000000001,1.3519999999999999,1.4710000000000001,2.8639999999999999]
[null,null,null,"2011-07-01",94.86,52.6,105.75,51.55,51.7,24.15,40.79,51.59,48.015000000000001,94.9,22.33,7.5149999999999997,145,1.4525999999999999,0.8478,6.2647000000000004,1.425,1.647,1.758,3.1829999999999998]
[null,null,null,"2011-07-08",94.52,52.6,108.6,52.48,52.05,22.42,39.200000000000003,52.39,49.445,94.68,22.32,7.3849999999999998,144.69999999999999,1.4264999999999999,0.83660000000000001,6.3832000000000004,1.417,1.4490000000000001,1.5590000000000002,3.028]
[null,null,null,"2011-07-15",92.26,51.4,109.2,50.75,50.2,21.324999999999999,36.994999999999997,53.27,48.35,93.05,22.79,7.6550000000000002,135.19999999999999,1.4157,0.81520000000000004,6.4892000000000003,1.232,1.2110000000000001,1.34,2.907]
[null,null,null,"2011-07-22",94.03,51.75,108.05,51.24,50.6,22.574999999999999,38.049999999999997,52.47,47.58,93.2,22.17,7.25,132,1.4359999999999999,0.81920000000000004,6.3319999999999999,1.331,1.383,1.498,2.9630000000000001]
[null,null,null,"2011-07-29",91.72,50.25,104.9,49.8,48.5,22.024999999999999,37.265000000000001,50.66,47.02,89.38,22.1,7.24,122.8,1.4398,0.78549999999999998,6.2771999999999997,1.206,1.1579999999999999,1.2490000000000001,2.7970000000000002]
[null,null,null,"2011-08-05",82.63,47,90.42,47.905000000000001,43.42,19.035,31.3,41.97,42.295000000000002,76.09,19.93,5.84,106.2,1.4281999999999999,0.76739999999999997,6.4771999999999998,0.85099999999999998,0.76,0.88300000000000001,2.56]
[null,null,null,"2011-08-12",82.19,49.16,94.59,46.335000000000001,42.6,19.385000000000002,29.225000000000001,38.875,44.225000000000001,74.099999999999994,20.309999999999999,5.7649999999999997,109.9,1.4248000000000001,0.77790000000000004,6.5110999999999999,0.76800000000000002,0.68500000000000005,0.82199999999999995,2.2560000000000002]
[null,null,null,"2011-08-19",77.25,48.11,83.71,45.295000000000002,43.2,17.829999999999998,25.43,34.734999999999999,41.05,68.260000000000005,19.03,5.22,98.45,1.4397,0.78510000000000002,6.3880999999999997,0.69499999999999995,0.64200000000000002,0.70399999999999996,2.0640000000000001]
[null,null,null,"2011-08-26",78.03,49.95,82.24,45.734999999999999,45.6,18.215,26.32,35.590000000000003,40.56,69.650000000000006,19.350000000000001,5.25,107.1,1.4499,0.80630000000000002,6.2938999999999998,0.72599999999999998,0.64700000000000002,0.69099999999999995,2.1909999999999998]
[null,null,null,"2011-09-02",80.66,49.65,82.38,47.72,45.5,19.795000000000002,26.475000000000001,35.46,40.204999999999998,69.78,19.989999999999998,5.36,109,1.4205000000000001,0.7883,6.3879999999999999,0.68300000000000005,0.51500000000000001,0.70399999999999996,1.9889999999999999]
[null,null,null,"2011-09-09",77.78,49.6,74.180000000000007,44.954999999999998,49.1,19.2,24.39,32.36,37.805,64.959999999999994,19.54,5.0650000000000004,100.4,1.3655999999999999,0.88380000000000003,6.5389999999999997,0.53900000000000003,0.38600000000000001,0.54700000000000004,1.92]
[null,null,null,"2011-09-16",79.73,48.7,75.41,44.81,49.1,19.78,27.44,36.395000000000003,39.53,70.08,20.190000000000001,5.8100000000000005,104.4,1.3795999999999999,0.87560000000000004,6.6151999999999997,0.64400000000000002,0.50700000000000001,0.67600000000000005,2.0489999999999999]
[null,null,null,"2011-09-23",74.92,48.5,69.09,43.67,48.5,18.675000000000001,24.65,32.405000000000001,38.604999999999997,65.53,19.48,5.1550000000000002,93.6,1.35,0.90559999999999996,6.9347000000000003,0.498,0.38900000000000001,0.56200000000000006,1.8340000000000001]
[null,null,null,"2011-09-30",78.36,50.1,71,46.2,50.8,19.98,25.07,33.630000000000003,40,68.12,19.16,5.37,99.25,1.3387,0.90820000000000001,6.8739999999999997,0.61799999999999999,0.54700000000000004,0.70299999999999996,1.9159999999999999]
[null,null,null,"2011-10-07",80.38,50.5,70.25,45.59,51.95,21.74,25.66,33.979999999999997,41.23,72.05,20.07,5.63,101.4,1.3378000000000001,0.92720000000000002,6.8060999999999998,0.66,0.59899999999999998,0.76500000000000001,2.0779999999999998]
[null,null,null,"2011-10-14",82.66,52.1,74.73,46.305,52.2,22.094999999999999,27.475000000000001,37.82,42.96,74.84,20.97,6.4,105.3,1.3881999999999999,0.89149999999999996,6.5910000000000002,0.68100000000000005,0.65900000000000003,0.84699999999999998,2.2490000000000001]
[null,null,null,"2011-10-21",82.92,51.8,73.03,47.695,51.7,21.675000000000001,27.52,36.72,44.625,74.010000000000005,21.4,6.42,107.6,1.3895999999999999,0.88249999999999995,6.5565999999999995,0.85799999999999998,0.65900000000000003,0.82699999999999996,2.2200000000000002]
[null,null,null,"2011-10-28",86.35,51.35,77.3,50.32,50.25,22.25,31.664999999999999,39.200000000000003,44.715000000000003,78.19,21.75,6.68,117.7,1.4147000000000001,0.86329999999999996,6.3855000000000004,0.80900000000000005,0.60099999999999998,0.77700000000000002,2.3180000000000001]
[null,null,null,"2011-11-04",83.15,50.95,68.45,48.75,49.72,20.664999999999999,29.78,34.99,43.45,74.05,20.72,6.2549999999999999,110.8,1.3792,0.88470000000000004,6.5759999999999996,0.70599999999999996,0.40100000000000002,0.53400000000000003,2.0339999999999998]
[null,null,null,"2011-11-11",83.59,50.95,68.91,48.945,50.15,22.344999999999999,28.875,34.045000000000002,42.905000000000001,74.14,21.22,7.16,110.5,1.375,0.89949999999999997,6.6178999999999997,0.96399999999999997,0.39900000000000002,0.55600000000000005,2.0579999999999998]
[null,null,null,"2011-11-18",80.569999999999993,51.95,64.83,47.524999999999999,50.15,21.34,25.975000000000001,31.62,41.174999999999997,72.010000000000005,21.22,6.6950000000000003,103,1.3525,0.91659999999999997,6.7842000000000002,0.90800000000000003,0.46200000000000002,0.59599999999999997,2.0110000000000001]
[null,null,null,"2011-11-25",76.86,50.35,62.72,45.7,48.1,20.059999999999999,24.25,29.79,41.26,68.599999999999994,20.09,6.3250000000000002,95.05,1.3239000000000001,0.93,7.0063000000000004,0.96899999999999997,0.45600000000000002,0.64400000000000002,1.9649999999999999]
[null,null,null,"2011-12-02",83.51,50.95,68.81,48.45,49.69,22.565000000000001,28.74,33.93,43.384999999999998,75.16,21.43,6.95,103.9,1.3391,0.9214,6.7561999999999998,0.55700000000000005,0.29899999999999999,0.47099999999999997,2.0339999999999998]
[null,null,null,"2011-12-09",83.47,51.6,64.33,47.86,50.9,23.12,28.475000000000001,34.159999999999997,44.11,74.75,21.42,6.8250000000000002,101,1.3386,0.92300000000000004,6.7264999999999997,0.65700000000000003,0.315,0.48899999999999999,2.0619999999999998]
[null,null,null,"2011-12-16",81.180000000000007,51.2,62.96,45.99,52,22.065000000000001,25.695,31.774999999999999,43.284999999999997,71.41,20.5,6.3,96.35,1.3046,0.93589999999999995,6.9244000000000003,0.215,0.216,0.34100000000000003,1.8479999999999999]
[null,null,null,"2011-12-23",84,53.2,63.08,47.34,53.3,23.44,26.82,34.39,44.435000000000002,72.67,21.39,6.5750000000000002,102.1,1.3044,0.93659999999999999,6.8810000000000002,0.122,0.22,0.36499999999999999,2.0249999999999999]
[null,null,null,"2011-12-30",84.95,54,63.66,48.57,53.7,23.734999999999999,26.8,33.92,44.59,73.94,21.7,6.5049999999999999,102,1.2961,0.93810000000000004,6.8872,0.153,0.13900000000000001,0.27100000000000002,1.877]
[null,null,null,"2012-01-06",85.98,54,64.099999999999994,48.265000000000001,54.7,23.324999999999999,28.31,36.47,46.06,76.12,21.76,6.7149999999999999,107.5,1.2717000000000001,0.95520000000000005,6.9417999999999997,0.46200000000000002,0.16300000000000001,0.27300000000000002,1.9590000000000001]
[null,null,null,"2012-01-13",86.39,53.2,69.2,47.045000000000002,53,21.89,29.99,37.97,44.715000000000003,75.489999999999995,23.22,6.59,110.6,1.268,0.95240000000000002,6.9919000000000002,0.379,0.15,0.23200000000000001,1.8639999999999999]
[null,null,null,"2012-01-20",88.61,53.55,75.459999999999994,47.494999999999997,52.05,21.65,32.645000000000003,41.954999999999998,47.3,78.05,23.86,7.22,116.7,1.2930999999999999,0.9345,6.7826000000000004,0.41699999999999998,0.20499999999999999,0.432,2.0249999999999999]
[null,null,null,"2012-01-27",88.43,53.1,77,46.935000000000002,49.8,21.85,33.39,42.7,47.405000000000001,72.8,24.86,7.08,117.9,1.3220000000000001,0.91259999999999997,6.7431000000000001,0.46,0.188,0.38300000000000001,1.8919999999999999]
[null,null,null,"2012-02-03",91.49,53.15,79.87,48.625,51.35,21.145,36.090000000000003,45.454999999999998,48.1,75.83,25.65,7.48,120,1.3158000000000001,0.91820000000000002,6.6783000000000001,0.39700000000000002,0.20100000000000001,0.40300000000000002,1.923]
[null,null,null,"2012-02-10",90.39,53.65,78.650000000000006,48.47,51.2,20.9,36.04,46.354999999999997,46.89,74.37,25.05,7.49,116.9,1.3197000000000001,0.91649999999999998,6.6618000000000004,0.40400000000000003,0.23599999999999999,0.41,1.9870000000000001]
[null,null,null,"2012-02-17",91.99,55.85,86.49,49.74,52,20.695,39.795000000000002,47.784999999999997,48.7,74.400000000000006,25.82,8.16,129.69999999999999,1.3140000000000001,0.92,6.7275,0.42799999999999999,0.25,0.42799999999999999,2.0030000000000001]
[null,null,null,"2012-02-24",91.55,55.45,91,50.7,51.5,20.63,39.94,47.445,47.55,75.02,25.58,7.9249999999999998,129,1.3448,0.89600000000000002,6.5579999999999998,0.379,0.23499999999999999,0.38700000000000001,1.9769999999999999]
[null,null,null,"2012-03-02",92.39,55.55,92.68,50.96,49.33,20.41,40.314999999999998,46.24,49.494999999999997,75.069999999999993,26.8,7.8949999999999996,130.4,1.3197999999999999,0.91420000000000001,6.6782000000000004,0.23100000000000001,0.158,0.29099999999999998,1.9750000000000001]
[null,null,null,"2012-03-09",91.77,56.6,88.74,52.28,50,19.545000000000002,41.734999999999999,46.94,51.4,74.680000000000007,27.02,7.82,137.1,1.3123,0.91879999999999995,6.8026999999999997,0.218,0.156,0.27600000000000002,2.0289999999999999]
[null,null,null,"2012-03-16",94.16,57,89.2,52.97,50.15,18.844999999999999,41.99,47.23,52.93,79.709999999999994,27.37,8.99,138.30000000000001,1.3174999999999999,0.91559999999999997,6.7438000000000002,0.25,0.33100000000000002,0.49399999999999999,2.2949999999999999]
[null,null,null,"2012-03-23",91.84,56.4,86.2,51.18,50.1,19.239999999999998,40.299999999999997,45.49,52.95,77.36,26.62,8.8249999999999993,133.69999999999999,1.327,0.90800000000000003,6.7332999999999998,0.22900000000000001,0.22800000000000001,0.374,2.2330000000000001]
[null,null,null,"2012-03-30",91,56.8,88.77,52.3,49.96,18.809999999999999,39.524999999999999,45.21,54.94,75.59,27.15,8.92,137.6,1.3343,0.90249999999999997,6.6147,0.23400000000000001,0.20399999999999999,0.32400000000000001,2.2109999999999999]
[null,null,null,"2012-04-06",89.56,55.95,87.44,51.63,50.45,18.085000000000001,37.975000000000001,42.854999999999997,53.67,73.88,26.79,9.01,135.69999999999999,1.3068,0.91969999999999996,6.7431999999999999,0.247,0.13800000000000001,0.247,2.0550000000000002]

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[]
[null,1,"Mapping"]
[null,null,null,null,null,null,null,"Put here the risk sources and map the values in EUR to them! (the length of the line does not correspond necessarily to the number of them…)"]
[null,null,null,"Asset","Description","VALUE"]
[null,null,null,1,"Fund replicating the MSCI Europe Index",{"$f":"Fund!K6","v":1000}]
[null,null,null,2,"Nestlé",{"$f":"Fund!K7","v":1024.1591735557161}]
[null,null,null,3,"Solvay",{"$f":"Fund!K8","v":1049.28}]
[null,null,null,4,"Danone",{"$f":"Fund!K9","v":1032.6000000000001}]
[null,null,null,5,"Novartis",{"$f":"Fund!K10","v":1049.4116156041489}]
[null,null,null,6,"Repsol",{"$f":"Fund!K11","v":1030.845}]
[null,null,null,7,"Renault",{"$f":"Fund!K12","v":1025.325}]
[null,null,null,8,"Daimler",{"$f":"Fund!K13","v":1028.52}]
[null,null,null,9,"Henkel",{"$f":"Fund!K14","v":1019.73}]
[null,null,null,10,"Siemens",{"$f":"Fund!K15","v":1034.32}]
[null,null,null,11,"Luxxotica",{"$f":"Fund!K16","v":1018.02}]
[null,null,null,12,"Pirelli",{"$f":"Fund!K17","v":1036.1499999999999}]
[null,null,null,13,"Scania",{"$f":"Fund!K18","v":1000.9630307249997}]
[null,null,null,14,"EU ECB Bonds 3% (coupon) maturity 6.04.2014",{"$f":"Fund!K19","v":1082.2487025792968}]
[null,null,null,15,"US Treasury 10y 0-coupon bonds",{"$f":"Fund!K20","v":1248.7571831495839}]
[]
[null,null,null,null,null,"Sums by risk source"]
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[null,2,"Statistics"]
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[null,3,"Var-covar matrix"]
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[null,4,"Var calculation(s)"]

{"sheet":"Historical simulations","index":6,"n_rows":168,"n_cols":20,"rows_kept":168,"cut":false,"hidden":false,"merged":[]}
[{"$f":"LEFT(R1,SEARCH(\".\",R1)-1) & \" > \" & RIGHT(Q1, LEN(Q1) - SEARCH(\"]\", Q1))","v":"FundX VaR > Historical simulations"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"CELL(\"filename\",A1)","v":"C:\\Users\\Hugo\\Documents\\HP ACAD\\library\\CASEShp\\Risk (VaR) - FundX VaR\\[HPcase (2012) - Risk (VaR) - FundX VaR.xlsm]Historical simulations"},{"$f":"MID(Q1,FIND(CHAR(127),SUBSTITUTE(Q1,\"-\",CHAR(127), LEN(Q1)-LEN(SUBSTITUTE(Q1,\"-\",\"\"))))+2,1024)","v":"FundX VaR.xlsm]Historical simulations"}]
[]
[null,1,"Current values…"]
[]
[null,null,null,"Asset",{"$f":"TRANSPOSE(VarCovar!D6:F20)","v":1},2,3,4,5,6,7,8,9,10,11,12,13,14,15]
[null,null,null,"Description","Fund replicating the MSCI Europe Index","Nestlé","Solvay","Danone","Novartis","Repsol","Renault","Daimler","Henkel","Siemens","Luxxotica","Pirelli","Scania","EU ECB Bonds 3% (coupon) maturity 6.04.2014","US Treasury 10y 0-coupon bonds","TOTAL"]
[null,null,null,"VALUE",1000,1024.1591735557161,1049.28,1032.6000000000001,1049.4116156041489,1030.845,1025.325,1028.52,1019.73,1034.32,1018.02,1036.1499999999999,1000.9630307249997,1082.2487025792968,1248.7571831495839,{"$f":"SUM(E7:S7)","v":15680.329705613743}]
[]
[null,2,"Scenarios"]
[null,null,"(scroll-down for step 3)"]
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[null,3,"VaR calculation(s)"]

{"sheet":"MC simulations (random data)","index":7,"n_rows":18,"n_cols":18,"rows_kept":18,"cut":false,"hidden":false,"merged":[]}
[{"$f":"LEFT(R1,SEARCH(\".\",R1)-1) & \" > \" & RIGHT(Q1, LEN(Q1) - SEARCH(\"]\", Q1))","v":"FundX VaR > MC simulations (random data)"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"CELL(\"filename\",A1)","v":"C:\\Users\\Hugo\\Documents\\HP ACAD\\library\\CASEShp\\Risk (VaR) - FundX VaR\\[HPcase (2012) - Risk (VaR) - FundX VaR.xlsm]MC simulations (random data)"},{"$f":"MID(Q1,FIND(CHAR(127),SUBSTITUTE(Q1,\"-\",CHAR(127), LEN(Q1)-LEN(SUBSTITUTE(Q1,\"-\",\"\"))))+2,1024)","v":"FundX VaR.xlsm]MC simulations (random data)"}]
[]
[null,0,"Explanations"]
[null,null,null,"The following two sheets are \"free\" in the sense that it is difficult beforehand to imagine how many columns each group will be using, etc…"]
[null,null,null,"But remember these steps:"]
[null,null,"a","Identify the risk sources (and use interest rates as risk sources, not bond prices!)"]
[null,null,"b","Generate random series for each risk source (the number of simulations is up to you)."]
[null,null,"c","Use the \"MSQRT\" function on the correlation matrix to understand how to compound these first random series into"]
[null,null,null,"\"correlated randoms\"."]
[null,null,"d","Use the statistics computed before to generate the right simulations (rightly centered and scaled)"]
[null,null,null,"You can use the following formulas, to remain simple:"]
[null,null,null,"For stocks, indices, FX rates:","dln(S)=(mu-.5*sigma^2)*dt+sigma*sqrt(dt)*dZ"]
[null,null,null,"For interest rates:","dr=mu*dt+sigma*sqrt(dt)*dZ"]
[null,null,null,"For interest rates, this is quite \"rough\" since we don't care about the term structure coherence and about the mean reversion behaviour of rates. Also, it does not preclude negative interest rates (so, you can put maybe a floor in your simulations, but this is \"cooking\")"]
[null,null,null,"For FX rates, this is also reductory since we know there is a mean reverting effect as well."]
[null,null,null,"[we will see quickly how do we complement this in practice…but that does not change the overall method…]"]
[]
[null,null,"Feel free to re-organise thse two sheets as you wish and to add more of them is required (for MC only)"]

{"sheet":"MC simulations (calculations)","index":8,"n_rows":1,"n_cols":18,"rows_kept":1,"cut":false,"hidden":false,"merged":[]}
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