16.7 Historical simulation (See Table 16.1 and 16.2) Create a database of the daily movements in all market variables The first simulation trial assumes that the percentage changes in all market variables are as on the first day The second simulation trial assumes that the percentage changes in all market variables are as on the second day and so on Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.7 Historical Simulation (See Table 16.1 and 16.2) • Create a database of the daily movements in all market variables. • The first simulation trial assumes that the percentage changes in all market variables are as on the first day • The second simulation trial assumes that the percentage changes in all market variables are as on the second day • and so on