Estimate the capital required under basel i for a bank that has the following transactions with another bank. Assume no netting.
(a) A two year forward contract on a foreign currency, currently worth $2 million, to buy foreign currency worth $50
(b) A long position in a six-month option on the s&p 500. the principal is $20 million and the current value is $4 million.
(c) A two-year swap involving oil. the principal is $30 million and the current value of the swap is -$5million. What difference does it make if the netting amendment applies?