Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93

Does it make sense for any reporting reasons to convert this value into JPY ? What is even the unit of a Delta in case of FX options? (of course I understand, here in the sample above, a 1 unit movement in the underlying price will induce a 0.93$ movement in the price.)

  • $\begingroup$ Is it not simply the change in the value of your position in currency xyz for the relevant change in the derivative? $\endgroup$ – will Jul 12 '19 at 21:16
  • $\begingroup$ I am still not convinced by what you imply. We need to use currency rates corresponding to foreign and domestic currencies when using the closed-form formula. So the price of a USD/EUR option wouldn't be as simply as converting the price of a JPY/EUR option, using the JPY/USD rate. $\endgroup$ – NamesTBill Jul 15 '19 at 9:54

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