Hedge Relationship Error

[Former Member]

I am trying to create Hedge Relationship with Commodity Swap. In the Hedging Relationship tab when trying to assign Commodity swap transaction to the relationship I get the error 'Cannot determine total volume of the derivative'. Any pointers would be useful.

[Former Member · Accepted solution]

Hi Abhishek,

I had faced similar issue and in this case you need to assign cash flow indicator for the flow types in

Market Risk Analyzer. This will solve your issue

[former_member198450]

Dear Abhishek,

I presume this might  be case because of hedge plan created for certain amount and commodity swap for certain. 

Please share the details so that we all can look and give some inputs, But as i said please check the above point it will surely resolve your issue.

Regards,

Jain

[Former Member]

HI Abhishek,

THere can be 3 reasons:

1. NPV is not set to zero at the inception for the derivative(based on hedge stratefy selected) . You can do so by running THM30.

2. The inception  date of the Hedging Relationship and the effective start date of the swap do not correspond to each other.

3. The exposure amount is with opposite direction as compared to the swap.

Regards,

NIkhil

[Former Member]

I have considered all 3 options. However still it doesnt work. It seems it doesnt consider the flows with the quantity.

Any other pointers.

[Former Member]

HI Abhishek,

in that case you need to make sure the exposure is is quantity based and one side of the swap has the same UoM of the exposure.

REgards,

NIkhil

[former_member226654]

Hi Abhishek

Please do the  changes as mentioned below

SPRO->FSCM-->TRM-->Market risk analyzer-->assign cash flow indicator to flow type -->Defien assignment manually

Here you need to assign the flow types used in the contract and assing it to a cash flow indicator

flow type and  cash flow indicator will depend on type of prouduct used  by you for hedging relationship

regards

Bajaj Pankaj

[former_member226654]

Hi Abhishek

Is the issue resolved ?

I have also faced the same issue

Regards

Bajaj Pankaj

[former_member226654]

Hi Abishek

Can you please tell me the which product type product category is using for hedging relationship ?

Regards

Bajaj pankaj