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I need to simulate FX forwards for risk management (VaR) purposes. The problem is that the FX forwards are derived from : 1) Spot 2) int rates 3) and the basis.

So the question is how do you simulate the whole lot together? In reality, I may have up to 6 currencies in my portfolio with tenors ranging from 6 months to 6 years.

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  • $\begingroup$ I am not sure what actually did you mean by "parametric" simulation. I thought there were only Historical or Monte Carlo simulations. Can you please expand? $\endgroup$ – AK88 May 15 at 21:33

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