I'm a software developer currently working for an asset manager in their Risk department.
I'm looking at Currency Futures and have a question I was hoping someone could put me right on.
If I have a fund whose base currency is GBP and it holds 1 long position in the EUR/USD currency future (say Dec15).
Having a GBP base currency, can I (should I?) represent the fund's exposure as 2 legs:
- a long EUR exposure; and
- a short USD exposure?
If so, I'd expect the EUR exposure value to be EUR125,000 but what would the USD exposure value be? And how do I ensure the net of the two equates to the market value of the position?