RONDANINIFX Risk Intelligence

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Methodologies / fx-cash-ladder

Multi-Currency Cash Ladder

Cumulative signed cash balance by date per currency.

v1.0fx-cash-ladder

Formula

cumulative_t = cumulative_{t-1} + inflows_t − outflows_t

Assumptions

  • Amounts are undiscounted face values.

Limitations

  • No FX conversion between currencies.

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