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The ABC Bank is having a portfolio worth 50 million. The spot rate is $1.4566/....

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Finance

The ABC Bank is having a portfolio worth 50 million. The spot rate is $1.4566/. The volatility of the option is 15% annualized. Calculate the potential gain/loss on the position at 68% and 95% confidence levels. Assume there are 250 working days in a year.

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