WebCab Bonds for COM v2.01

DurationConvexity.DurationHedgeRatio Method 

Evaluates the duration-hedge ratio of an interest rate dependent asset such as a bond portfolio or a money market security.

public double DurationHedgeRatio(
   double futuresPrice,
   double duration,
   double forwardValue,
   double durationPort
);

Parameters

futuresPrice
The contract price of the interest rate futures contract.
duration
The duration of the asset underlying the futures contract at the maturity of the futures contract.
forwardValue
The forward value of the portfolio being hedged at the maturity of the hedge.
durationPort
The duration of the portfolio at the maturity of the hedge.

Return Value

The duration-hedge ration of an interest rate dependent asset.

Remarks

The hedge ratio returns the number if relevant interest rate future contracts which need to be brought (or sold) in order to hedge against price changes resulting from small parallel shifts of the interest rate curve.

See Also

DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace