I might be asking a very simple question for the FX experts...
I would like to check the HistSim VaR process for a currency NDF.
Given the PV for the product is defined as:- (f(T) - K)*discFactor(DOM,T)*N
f is the forward outright for the NDF ccy pair k is the strike T is the maturity discFactor(DOM,T) is the domestic discount factor N is the foreign ccy
This can be re-written as = (Spot + Swap_point(T) - k)* discFactor(DOM,T)
Am I then right in saying that the risk_factors are:- 1) Spot 2) the forward fxSwap point 3) domestic risk-free rate ?
For VaR, I will also need the correlation between each of these risk-factor changes
Also, for USDCNY where base = USD, I am guessing I need to switch from Base=USD to Base=CNY