Thanks :), but I still need one more thing to make it usable. This comparison $http_my_header ~ (\d+) must work on concrete values from file, namely

In file called header_value.file I would like to have

header_value1
header_value2
header_value3

and comparison $http_my_header ~ (\d+) should check whether any value from header_value.file is in $http_my_header