Abstract
Up to this point, we have only considered cash flows that depend on a single currency. We now cover the multi-currency extension. The fundamental building stones in such a theory are the FX rates X t ij which represent the time t value in currency j of one unit of currency i.
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References
Reiswich D, Wystup U (2009) FX volatility smile construction. Center for Practical Quantitative Finance, Frankfurt School of Finance & Management, Research Report No. 20
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© 2011 Springer-Verlag Berlin Heidelberg
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Ekstrand, C. (2011). Foreign Exchange. In: Financial Derivatives Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22155-2_14
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DOI: https://doi.org/10.1007/978-3-642-22155-2_14
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