I am comparing the mark-to-market (MtM) valuations of two risk systems, with respect to FX Options.
My question is can I quantify the difference in MtM given the following:
AUD/JPY, MTM = USD 461,000, Implied Vol. = 11.88%, Vega = USD 82,000, Forward Rate = 97.29 and USD Delta = -15,300,000
AUD/JPY, MTM = USD 406,000, Implied Vol. = 12.14%, Vega = USD 77,000, Forward Rate = 97.81 and USD Delta = -13,600,000
Assuming both systems use Black Scholes, how can I quantify the difference in MtM (in USD) which is USD 55,000 by attributing it to:
- Difference in Implied Volatility and;
- Difference in Forward Rates?
I tried doing this and am still left with a small difference - is it possible to quantify that too?