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

See also