On December 31,2015 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

On December 31,2015 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?

Quizplus · Accepted Answer

The value of the Japanese Yen position in dollars is 200,000,000/92 = $2,173,913.04, and the delta is the change in value per unit change in the exchange rate, which is approximately -$21,524. The value of the Swiss Franc position in dollars is 50,000,000/1.89 = $26,455,026.46, and the delta is approximately -$261,930.

On December 31,2015 Historic Bank Had Long Positions of 200,000,000