FX Delta PnL Explain can be handled using the logic for interpreting risk factors as currency pairs, either by directly defining the currency pair, such as CAD/USD, or by customizing the interpretation of risk factors, for example, CAD_FX Equivalent.Documentation Index
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Example scenario
1. Input data: Sensitivity inputs
The sensitivity input data contains the following fields:- Risk Factor: Specifies the FX pair or equivalent representation for the sensitivity.
- Value (Delta): The sensitivity of the Delta to changes in the FX rate.
Example sensitivity input data:
| Risk factor | Delta |
|---|---|
| CAD/USD | 1000 |
| CAD_FX Equivalent | 1500 |
2. Logic for interpreting risk factors
Case 1: Risk factor as a currency pair (preferred approach)
For a CAD/USD, the system interprets the risk factor as:- From Currency: CAD
- To Currency: USD
Case 2: Risk Factor as an Equivalent (Customized Approach)
For CAD_FX Equivalent, the system customizes the interpretation to convert it into a currency pair:- From Currency: CAD
- To Currency: USD
RiskFactorFXPairTranslatorConfig class in the code base, where you input a default To: currency). Atoti Market Risk then looks up the FX rate CAD/USD in the FX rate market data store.