| |
|
|
|
| |
Hull 18.3 & 18.4 |
|
|
| |
Delta |
56 |
|
| |
Spot FX rate |
1.5 |
|
| |
Daily change in FX rate |
1.00% |
|
| |
Est change in Portfolio (P) |
0.840 |
|
| |
|
|
|
| |
StdDev of change FX |
0.70% |
|
| |
Est StdDev of change P |
0.588 |
|
| |
|
|
|
| |
VaR confidence |
99.00% |
|
| |
Normal deviate |
2.33 |
|
| |
10-day VaR |
4.33 |
|
| |
|
|
|
| |
Gamma |
16.2 |
|
| |
Daily change in FX rate |
1.00% |
|
| |
Est change in Port (P) |
0.84 |
|
| |
|
|
|
|