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First, many thxs for your respose. Assume EURSd =1 to make things simpler. Assume I´m long 100 lots in TNote future (so 100 x 100,000 = 10MM USD value for this position as the TNote contract size is 100000 USD per contract) and short 125 losts Euro Bund future(so 125 x 100,000 = 12.5MM USD value...

Dear Community, I'd appreciate any guidance regarding the most efficient way to compute the VaR (say 1-day VaR at 95% confidence level) for a spread trade in two Bond Futures, with weights adjusted by duration, currency, and volatility. As an example, consider you're given this positio: LONG...