FX basket delta


Yossarian22: Posts: 4; Joined: March 15th, 2007, 2:27 am

Quote
#1

February 16th, 2011, 2:25 pm

Say I have an international Fixed income fund and I want to hedge my FX exposure. I can buy a basket put based on the currency weights. My question is what is the delta of this basket? It is based on a 1bps move up and down or a 1% move up and down. What is the convention? I think its 1 bps but I am not certain and don't have any reliable source right now.Y

Top