2. A financial institution has just sold 1,000 7-month European call options on the Japanese yen. Suppose that the spot exchange rate is 1 cent per yen, the exercise price is 1.1 cent per yen, the risk-free interest rate in the US is 8% per annum, the risk-free interest rate in Japan is 5% per annum, and the volatility of the yen is 15% per annum. Calculate the delta, gamma, and vega of the financial institution's position