Currency Model Specification
Document ID: 2004-90 (previously 2004/004)
Published on: 1st February 2004
Author: Steven Morrison
This document describes the model used for simulation of cash returns and exchange rates in risk-neutral scenarios used for market-consistent valuation work. In particular, we describe the concept of "foreign deflators", which are required to discount cash flows in foreign (i.e. non-base) currency.
