Reply To: Why are the Impact Of Delta values inconsistent in PnL Explained ?

Israr Ahmed

In some versions of Endur we also noticed that the difference could also be due to that the Base PnL Explained used SpotFX(t) to convert. However the Impact Of Delta ( if set to report in Scenario Currency ) uses SpotFX(t-1) . Whilst the latter is technically correct ( as there is a separate Impact of Spot FX effect ) , it causes discrepancies between the two results.

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