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hull.18.3 by btzoho  194 views
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$ Macros
 
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Hull 18.3 & 18.4
Delta56
Spot FX rate1.5
Daily change in FX rate1.00%
Est change in Portfolio (P)0.840
StdDev of change FX0.70%
Est StdDev of change P0.588
VaR confidence99.00%
Normal deviate2.33
10-day VaR4.33
Gamma16.2
Daily change in FX rate1.00%
Est change in Port (P)0.84
Hull 18_3
 
     
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