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Thanks David, And in the absence of any readymade feature I have to add one post just to acknowledge your help and pay my gratitude. Will carry on this discussion in new light as and when it strikes. ;) With Regards, Andy

Thanks David for clarification and now as we found our self on the same boat let me tell you that I work for a consultancy firm and suppose to answer my clients on this in couple of days. :( So this takes us back to the basics and as the matter is fairly open possible solutions which I can...

Hi David and Jyothi, Really some nice discussion on this thread, but here is something for which I couldn't find any concrete answer in Basel:- Should we use currency mismatch haircut under Simple Approach for collaterals or not? I believe Basel is fairly silent on this point or does that mean...