4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Review Quiz 7 - Results X
Attempt 1 of 1
Written Mar 21, 2025 11:18 PM - Mar 21, 2025 11:29 PM
Attempt Score 43.75 %
Overall Grade (Highest Attempt) 43.75 %
Question 1 points
The trading positions of a bank have a delta of 290,000, a gamma of 13,000,
and a vega of 27,500 with respect to the EUR. The bank wants to reduce this
delta to 105,000 using EUR forwards that have 8 months to maturity and a
contract size of 1,000. The current dollar interest rate is 2.9% and the current
Euro-zone interest rate is 1.7%. What position in these forwards should the
bank take?
Note: Your answer must be accurate to within one contract. Short positions
should be indicated with a negative sign.
Answer:
-184 % (-187.1)
w Hide question 1 feedback
Feedback
The appropriate calculations are:
Forward delta = Contract size x exp( -Euro-zone interest rate x Years to
maturity)
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441870&ai=10595069&isInPopup=0&cfql=0&fromQB=0&... 1/6
, 4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Number of contracts = (Desired portfolio delta - Current portfolio delta) /
Forward delta
Question 2 points
The trading positions of a bank have a delta of 265,000, a gammma of 20,000,
and a vega of 21,000 with respect to the EUR. The bank wants to reduce this
delta to 105,000 using EUR futures that have 8 months to maturity and a
contract size of 1,000. The current dollar interest rate is 2.5% and the current
Euro-zone interest rate is 1.7%. What position in these futures should the
bank take?
Note: Your answer must be accurate to within one contract. Short positions
should be indicated with a negative sign.
Answer:
-161 % (-159.1)
w Hide question 2 feedback
Feedback
The appropriate calculations are:
Futures delta = Contract size x exp([Dollar interest rate - Euro-zone
interest rate] x Years to maturity)
Number of contracts = (Desired portfolio delta - Current portfolio delta) /
Futures delta
Question 3 points
A Canadian bank will pay 250,000 AUD in one month. To limit the CAD cost
of this transaction while allowing for upside potential, the bank could take
which of the following positions?
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441870&ai=10595069&isInPopup=0&cfql=0&fromQB=0&... 2/6
Review Quiz 7 - Results X
Attempt 1 of 1
Written Mar 21, 2025 11:18 PM - Mar 21, 2025 11:29 PM
Attempt Score 43.75 %
Overall Grade (Highest Attempt) 43.75 %
Question 1 points
The trading positions of a bank have a delta of 290,000, a gamma of 13,000,
and a vega of 27,500 with respect to the EUR. The bank wants to reduce this
delta to 105,000 using EUR forwards that have 8 months to maturity and a
contract size of 1,000. The current dollar interest rate is 2.9% and the current
Euro-zone interest rate is 1.7%. What position in these forwards should the
bank take?
Note: Your answer must be accurate to within one contract. Short positions
should be indicated with a negative sign.
Answer:
-184 % (-187.1)
w Hide question 1 feedback
Feedback
The appropriate calculations are:
Forward delta = Contract size x exp( -Euro-zone interest rate x Years to
maturity)
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441870&ai=10595069&isInPopup=0&cfql=0&fromQB=0&... 1/6
, 4/16/25, 1:03 AM Gurleen Bajwa - AFF811/FIN801 011 - Financial Risk Management - W2025 - Toronto Metropolitan University
Number of contracts = (Desired portfolio delta - Current portfolio delta) /
Forward delta
Question 2 points
The trading positions of a bank have a delta of 265,000, a gammma of 20,000,
and a vega of 21,000 with respect to the EUR. The bank wants to reduce this
delta to 105,000 using EUR futures that have 8 months to maturity and a
contract size of 1,000. The current dollar interest rate is 2.5% and the current
Euro-zone interest rate is 1.7%. What position in these futures should the
bank take?
Note: Your answer must be accurate to within one contract. Short positions
should be indicated with a negative sign.
Answer:
-161 % (-159.1)
w Hide question 2 feedback
Feedback
The appropriate calculations are:
Futures delta = Contract size x exp([Dollar interest rate - Euro-zone
interest rate] x Years to maturity)
Number of contracts = (Desired portfolio delta - Current portfolio delta) /
Futures delta
Question 3 points
A Canadian bank will pay 250,000 AUD in one month. To limit the CAD cost
of this transaction while allowing for upside potential, the bank could take
which of the following positions?
https://courses.torontomu.ca/d2l/Ims/quizzing/user/quiz_submissions_attempt.d21?isprv=&qi=441870&ai=10595069&isInPopup=0&cfql=0&fromQB=0&... 2/6
