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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 $shift_{i,ccy2/ccy1}$
Formula $$PnL_{i,ccy2}=PnL_{i,ccy1} \cdot Fx_{ccy2/ccy1} \cdot \left( 1 + shift_{i,ccy2/ccy1} \right)$$

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

See also