Hedge management

[former_member198450]

Hello Expert,

I’m working in hedge management, I’m trying to do below process.

I create hedge plan start date today 14.10.2014 till 30.11.2014. hedge Strategy I selected as CF SPOT period.

Created FRA deal for the same date.

Now when I’m trying to do effective test (THM80)on 31.10.2014 and 30.10.2014 with retrospective options, Its shows below screen, I expected to have the data in delta option.

Below is Tcurr table.

Now, When i tried to execute for prospective effect. It shows below.

My understanding about the same as below.

Prospective (tests whether the hedging relationship is likely to be effective in the future)

Retrospective (tests whether the hedge relationship was effective in the past)

Could you please let me  know what problem is there?

Regards,

Jain

[Former Member]

Hi Jain ,

Check  the Calculation type in the Hedge Strategy config in Effectiveness test. Check the input for the initial NPV value. Based on this you need to perform THM30 or save ur own NPV in VTVBAR to calculate NPV at the inception date of your hedging relationship. then after that calculate the NPv (tpm60) and then check THM80. Also if you double click on the red error in exception, below you can see the error detail.

Regards,

Nikhil

[former_member198450]

Dear Nikhil,

Thanks for the input, I'll try and get back to you.

Regards,

Jain

[grigoriy_babitskiy]

Dear Jain, can you post Detailed log of your calculations?

And Calculation Basis

Message was edited by: Grigoriy Babitskiy

[former_member198450]

Hello Grigoriy,

Thanks for looking into my issue. Please find below screen shot.

Rate enter manually while creating deal - 1,350000000 .

Regards,

Jain

[former_member198450]

Hello,

Anyone who can help me to understand the basic functionality of Hedge management.

Below is an example i created in system with weird results as i'm not able to understand the function and its output.

When i  click perform measurement, its give the result as i expected.

I created forward deal of 100T(1Lakh) at the rate of 1,35 when i check the measurement on 31.10.2014. the out is correct as i expected. see below calculation.

Date	amount	rate
16.10.2014	100000	1.35	74074.07
31.10.2014		1.25	80000
			-5925.93

When i select Perform assessment with retrospective option result as below.

When i select Prospective option below is result. I'm not sure what system is doing,Even when i try to do effective test with 20.11.2014 deal closure date it still showing below result.

Any suggest or thought about the process what system is doing would be appreciated.

below are my question which i'm looking for solution or suggestion.

1) What is basic difference between perform measurement and perform assessment?

2) why system is behaving while executing for prospective option? how to analysis this?

Please help me out.

Regards,

Jain

[grigoriy_babitskiy]

Dear Jain.

Sorry, i don't have time right now to take a closer look at your problem. Maybe you can take a look at this article, it might help you: Hedge Management | Gopa Kumar S

[former_member198450]

Dear Grigoriy,

I have checked this article already yet not able to determine the issue and cause.

Regards,

Jain