The following table lists three financial instruments and their deltas, gammas, and vegas for each $$1$ million notional amount under the assumption of a long position. $($Long in a swap or FRA means to pay fixed and receive floating.$)$ Assume that you hold a $$12$ million notional amount long position in the three$-$year call option, an $$8$ million notional amount short position in the three$-$year swap, and an $$11$ million notional amount long position in the FRA. Each derivative is based on the $90-$day LIBOR.

$\backslash$table$[[$Instrument$,$Delta,Gamma,Vega$],[3-$year call option with exercise rate of $0\mathrm{.}12,$$$40,$$$1,343,$$$5\mathrm{.}02$

As described earlier, you have three instruments currently in your portfolio.

Determine your current portfolio delta, gamma, and vega. Describe in words the risk properties of your portfolio based on your calculations.