oHEF_VRM( ) Function

Component

Resolution - Hedge Analysis

Function Definition

oHEF_VRM(UnderlyingFV, HedgeFV, TargetRRR, HedgeRatio, Output)

Hedge Effectiveness - Volatility Reduction Measure method.

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

UnderlyingFV

The observed fair values of the hedged asset.

Curve

HedgeFV

The observed fair values of the hedging asset.

Curve

The size of the HedgeFV range must be the same as the size of the UnderlyingFV range. Gaps, or situations where there is a value provided in only one range, will not be included in the calculation.

TargetRRR

The target Risk Reduction Ratio.

Double

HedgeRatio

The proportion of the hedging instrument to be applied to the underlying instrument

Double

HedgeRatio > 0

Output

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

Enumerated Constant

0 - All Values
1 - RRR only
2 - SigmaU only
3 - SiqmaP only
4 - Accept/Reject only