# fx : HistSim VaR for currency NDFs

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

Thanks.

• Also would like to refer to the post:- quant.stackexchange.com/questions/12617/… where , we have a long exposure to EUR Spot (as per Jorion's method). Is that exposure true for cash settled NDFs as well? – sumit_uk1 Jan 5 '17 at 14:53