Definicja normed hedge ratio
Value between 0 and 100, that expresses the hedge ratio as a percentage.
The normed hedge ratio is calculated from the hedge ratio as follows:If the hedge ratio is between 0 and -1: Absolute amount x 100 If the hedge ratio is less than -1: Inverse of the absolute amount x 100 If the hedge ratio is greater than 0: Zero
Example: A perfect hedge has a normed hedge ratio of 100% If the changes in the value of the underlying and hedge transactions in a hedging relationship are in the same direction, then the hedging relationship has a normed hedge ratio of 0%.
Słownik i definicje SAPa na N.