In the solution, where did .222d + .788c = 0 come from? although it's obvious that .788 = 1-0.222, there is no mention of a portfolio of C and D has delta = 0.
D has a delta of 0.222 (given in the question) Use put call parity to derive the delta of a call in terms of a put Delta(call) = Delta(put) + 1 We are looking for a delta-hedged portfolio hence the eqn, John
