OPTIMAL NUMBER OF HEDGING FUTURES CONTRACTS FOR INVESTMENT AND CONSUMPTION ASSETS DETERMINATION PROCEDURE




Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Futures contracts hedge] button, this will take you to the Optimal number of hedging futures contracts parameters page.

Equity portfolio insurance using index futures parameters page

  1. Enter the name of asset being hedged.
  2. Select the name of currency of valuation from the drop-down list.
  3. Enter the name of the underlying index futures used for hedging.
  4. Enter the current value of the portfolio being hedged.
  5. Enter the name of asset underlying the hedging futures contract.
  6. Enter the size of the position being hedged.
  7. Enter the size of the hedging futures contract.
  8. Enter the current spot price per unit of the position being hedged.
  9. Enter futures current settlement price.
  10. Enter futures contract expiry period in years.
  11. Enter the standard deviation of the change in spot price of the asset being hedged during life of the hedge.
  12. Enter the standard deviation of the change in futures price during life of the hedge.
  13. Enter the correlation between change in spot price of the asset being hedged and change in futures price during life of the hedge.
  14. Enter the hedge expiry period in years.
  15. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.