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 functional currency is USD and you’re hedging EUR, select USD-EUR (functional currency first). If your functional currency is GBP and you’re hedging INR, select GBP-INR (functional currency first). 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.
Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing
Please see below for the specifics.