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 Swf 1.89/$. What is the value of delta for the respective positions of the two currencies in dollars?

Question

Quizplus · Accepted Answer

The delta value is calculated by converting the foreign currency positions into USD using the given exchange rates. For Yen: 200,000,000/92 = $2,173,913.04, and for Swiss 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, which is approximately the inverse of the exchange rate for small changes.

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