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Methodologies / fx-historical-scenarios

Historical Return Scenarios

Apply user-supplied (licensed) FX returns to a notional; no vendor series bundled.

v1.0fx-historical-scenarios

Formula

shocked = spot×(1+r); pnl = notional×(shocked−spot)

Assumptions

Returns are fractions (or percent if |r|>1).
User holds rights to process the series.

Limitations

No holiday calendar; single-factor FX revaluation only.

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