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FX Shift

Description FX Shift vector applied to the exchange rate to mimic the historical FX rate for VaR currency conversion
Hierarchies required in the view
Notation shifti,ccy2/ccy1
Formula PnLi,ccy2=PnLi,ccy1Fxccy2/ccy1(1+shifti,ccy2/ccy1)

The source currency (ccy1) is defined by [Currencies].[srcCurrency]. The target currency (ccy2) is defined by [Currencies].[displayCurrency]. The scenario (i) is defined by [Risk].[Scenarios]

See also