On December 31, 2001 Historic Bank had long positions of 200,000,000 Japanese Yen and 50,000,000 Swiss Francs. The closing exchange rates were ¥92/$ and Swf1.89/$.
-What is the value of delta for the respective positions of the two currencies in dollars?

Question

Quizplus · Accepted Answer

To find the delta value in dollars, convert the positions using the given exchange rates. For Yen: 200,000,000 / 92 = $2,173,913.04. For Francs: 50,000,000 / 1.89 = $26,455,026.46. The delta is the change in value for a small change in the exchange rate, so the values are -$21,524 and -$261,930 respectively.

On December 31, 2001 Historic Bank Had Long Positions of 200,000,000