Reference no: EM131710515
Export Bank has a trading position in Japanese Yen and Swiss Francs. At the close of business on February 4, the bank had ¥300,000,000 and Sf10,000,000. The exchange rates for the most recent six days are given below:
Exchange Rates per U.S. Dollar at the Close of Business
2/4 2/3 2/2 2/1 1/29 1/28
Japanese Yen 112.13 112.84 112.14 115.05 116.35 116.32
Swiss Francs 1.4140 1.4175 1.4133 1.4217 1.4157 1.4123
c. What is the sensitivity of each FX position; that is, what is the value of delta for each currency on February 4?
Japanese Yen: 1.01 x current exchange rate = 1.01 x ¥112.13 = ¥113.2513/$
Revalued position in $s = ¥300,000,000/113.2513 = $2,648,976.21
Delta of $ position to Yen = $2,648,976.21 - $2,675,465.98
= -$26,489.77
Swiss Francs: 1.01 x current exchange rate = 1.01 x Swf1.414 = Swf1.42814
Revalued position in $s = Swf10,000,000/1.42814 = $7,002,114.64
Delta of $ position to Swf = $7,002,114.64 - $7,072,135.78
= -$70,021.14
In the answer why 1.01 would be multiplied? where is the 1.01 from?
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