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If the base ccy of the your portfolio is CAD, then it makes sense to use the asset weights in base too (= CAD) according to your described formula.


Let $\{X_t \mid t \ge 0\}$ be the foreign exchange rate rate from $£$ to $\$$. Moreover, let $C(X_0, K, T)$ and $P(X_0, K, T)$ be the prices of the respective call and put options with strike $K$ and maturity $T$. Then \begin{align*} \frac{1}{X_0}P(X_0,\, K,\, T) = K C\left(\frac{1}{X_0},\, \frac{1}{K},\, T \right). \end{align*} Based on the given condition, ...

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