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#6242
Anonymous
Inactive

Hi Roland,

Internally, ORE takes care of any FX inversion it needs for pricing, there is no FX dominance table used. This means that sometimes you have to add market quotes for things like USDEUR, even though it is typically not quoted that way.

However, in your case for simulation, you will need the same currency in both the simulation setup (for the model) and the system base currency. This is very annoying and yes, it can be a bit tricky as some of the configuration needs to be reversed and your market data might need to be inverted. You will also need USD-based FX option quotes for the FX calibration, there is no way to avoid this I believe.

However once it is setup like this, it is allot easier to see what is going on.

Regards,
Niall.