P
Pokey
Using a table, I am trying to generate a gain/(loss) profile.
The gain/(loss) is calculated by taking a net position (underlying
exposure + hedge) and comparing it against two rates. My underlying
exposure will vary as a %, that is, +/- 0%, 5%, 10%, 15% etc. The
offsetting hedge will be known. The sum of these two items I will have
in a single column.
In a row across the top I have a probability-based rate distributiuon.
These are my "uknown rates" and will be used for comparison against my
accounting rate which is known in advance.
For the life of me, I can't get the table to generate the gain loss
correctly, and don't know what I am missing. I know that once the tale
is generated, that I should see a $(354,750) in the 50% probability
column for rates at 0% forecast error. I can send the file if
necessary.
Any suggestions ?
Fcst Error % (Underlying) Distribution of FX Rates
Gain/(Loss) 0% 1% 5% 25% 50% 75% 95% 99% 100%
$(354,750) 1.16 1.22 1.23 1.25 1.26 1.27 1.29 1.31
1.36
25% |
20% |
15% |
10% |
5% V
0% --------> s/b =$(354,750)
-5%
-10%
-15%
-20%
-25%
The gain/(loss) is calculated by taking a net position (underlying
exposure + hedge) and comparing it against two rates. My underlying
exposure will vary as a %, that is, +/- 0%, 5%, 10%, 15% etc. The
offsetting hedge will be known. The sum of these two items I will have
in a single column.
In a row across the top I have a probability-based rate distributiuon.
These are my "uknown rates" and will be used for comparison against my
accounting rate which is known in advance.
For the life of me, I can't get the table to generate the gain loss
correctly, and don't know what I am missing. I know that once the tale
is generated, that I should see a $(354,750) in the 50% probability
column for rates at 0% forecast error. I can send the file if
necessary.
Any suggestions ?
Fcst Error % (Underlying) Distribution of FX Rates
Gain/(Loss) 0% 1% 5% 25% 50% 75% 95% 99% 100%
$(354,750) 1.16 1.22 1.23 1.25 1.26 1.27 1.29 1.31
1.36
25% |
20% |
15% |
10% |
5% V
0% --------> s/b =$(354,750)
-5%
-10%
-15%
-20%
-25%