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A given portfolio of currency-based positions (on the Euro) has a delta of 15,000, a gamma of -2000, and vega of -1000 (per 1%). Estimate
A given portfolio of currency-based positions (on the Euro) has a delta of 15,000, a gamma of -2000, and vega of -1000 (per 1%). Estimate what happens to the value of this portfolio if the dollar price of a Euro decreases from $1.19 to $1.15, and the volatility underlying options increases from 7.5% to 8.0%.
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