My question is how to do Monte Carlo simulation for FX forward contracts. Just imagine you have bought a bunch of FX forwards (in various currencies and various tenors) for hedging purposes and you want to simulate the value of those contracts at time t.
You could easily simulate the correlated spot prices using sth like Cholesky, however, to measure the value of your forward contracts you also need to know the composition of the term structure at time t. the question is then how do you simulate the term structure at time t and how do you combine them with the simulated spot. is there a better of way of doing this?