This regression library supports the effective relationship of cash flow hedges of foreign currency exposures using either plain vanilla forwards or options, and for both including and excluding time value.
For example, if your currency pair is USD/EUR, select EUR. Present value discounting for time is evaluated from both a USD functional and foreign currency functional perspective. For cross currency exposures (where USD is not part of the exposure pair) select the functional currency of the entity.
If the currency pair you require is not currently available, please contact us directly.
*Please note that currency pairs are posted 2 business days after your company’s month-end date.