HedgeOne calculates hedge ratios with respect to on-the-run securities.
For a bank, the swap curve is built from LIBOR, Eurodollar and swap rates. The following window shows hedge ratios for basic securities.
The hedge ratio also can be expressed as the a ratio to the zero or the forward curve.
Swap
Cap
Periodic Cap
Single Index
Swaption
Index Amorizing Swap
Target Swap
Spread Range
Dual Index
