CA-9.7.3
A forward foreign exchange position is decomposed into legs representing the paying and receiving currencies. Each of the legs is treated as if it were a zero coupon bond, with zero specific risk, in the relevant currency and included in the measurement framework as follows:
(a) If the maturity method is used, each leg is included at the notional amount; and
(b) If the duration method is used, each leg is included at the present value of the notional zero coupon bond.
Amended: April 2011
Apr 08
Apr 08