As indirectly-quoted exchange rates are permitted as of Basis release 4.6, the corresponding adaptations for the management of these rates in value-at-risk have been carried out.

The currency valuation of items is a linear function. Thus at the start of delta-gamma formulation you expect a gamma position of 0. Internally, indirectly quoted rates are always converted to price-quoted rates using the quotation ration of 1:1. This maintains the linearity of the valuation function. When defining risk factors, ensure that you use the generic generation of currency risk factors.

Only store the from-currency as the risk factor. The system automatically replaces the to-currency with the evaluation currency. In this way you ensure that relative currency shifts resulting from the internal conversion to price-quoted representation are always multiplied for the creation of currency simulation scenarios. In this way, linearity of the valuation function is retained.

If you do not use this generic for creating currency risk factors, gamma items can arise that do not equal zero since you have to divide by shifts.