A financial institution owns a portfolio of options on the U$.$S$.$ rand$$dollar exchange

rate. The delta of the portfolio is $70\mathrm{.}0.$ The current exchange rate is $9\mathrm{.}00.$ Derive an

approximate linear relationship between the change in the portfolio value and the

percentage change in the exchange rate. If the daily volatility of the exchange rate is

$10\%,$ estimate the $10-$day $99\%$ VaR and the one year $99\%$ VaR?