Hi,
I am looking for an academic measure that relates the initial hedged amount at time to the notional value of the hedge at time t+1. Something like:
notional value time t +1 / Amount hedged at time t
Do any of you know a similar measure? The purpose is to measure the precision and performance of the hedge.
Thank you in advance for your help :)
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Replies
Not come across academic measure to the notional value t+1 measure in hedging. However, you may visit ntu.edu.sg/chapter 3 if it helps you in any way. Also not sure having seen in MS Excel finance function. Rate or expected inflows only can help in Time Value of Money as far as PV, NPV, FV are concerned which are outside the purview in present context. However, if you come across solution, just share to enrich knowledge. Thanks.