Problem

32. You hold a portfolio that is short 800 calls, each with a rho of +21.50, and long 800...

32. You hold a portfolio that is short 800 calls, each with a rho of +21.50, and long 800 puts, each with a rho of -16.70. By how much does your portfolio value change if interest rates move down by 20 basis points?

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Solutions For Problems in Chapter 17