We introduce a tractable multi-currency model with stochastic volatility and
correlated stochastic interest rates that takes into account the smile in the
FX market and the evolution of yield curves. The pricing of vanilla options on
FX rates can be performed effciently through the FFT methodology thanks to the
affinity of the model Our framework is also able to describe many non trivial
links between FX rates and interest rates: a second calibration exercise
highlights the ability of the model to fit simultaneously FX implied
volatilities while being coherent with interest rate products
