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Simple Directionality Spread Trade Hedge If the sum of the risks of the trade $t$ are zero (as in the case of the 2Y5Y10Y spread trade) that immediately gives a starting point from which to make a simple calculation for an adjustment. For example if one assumes that the first principal component is the outright market driver and that the factor loadings ...


4

When you delta hedge a currency option, you are hedging in both currencies. In your example, since you have a short position of $600,000 as your hedge, this would be against JPY; therefore you would be long 600,000 * 112 = 67.2MM JPY at the same time. Regarding your second question, you would still hedge the delta using the underlying of the option--in ...


1

980,000 is the value of the contract. You can solve it with this formula: $$\text{Contract value} = 10,000 \cdot \left[100-0.25\left(100-Q\right)\right]$$


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