New answers tagged var
Since Fx Fwd has different underlying risk factors, it decomposes the positions into different cash flows. The spot (currency) position is created to account for the impact of exchange rate fluctuation.
You have been not really precise in the explanation of your steps, however remember that "random number" is a rather generic expression since the method you describe can be applied to a restricted class of distribution ( among which normal and t ). Considering I am not sure about your methodology my advice is to follow a more classical approach, therefore ...
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