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| -rw-r--r-- | docs/eur_hedging.rst | 13 |
1 files changed, 13 insertions, 0 deletions
diff --git a/docs/eur_hedging.rst b/docs/eur_hedging.rst new file mode 100644 index 00000000..cc1f2b55 --- /dev/null +++ b/docs/eur_hedging.rst @@ -0,0 +1,13 @@ +At the fcms: + + - We hedge the account value. + + account value = trade nav + account balance + account value = IA + excess + + the goal is to have 0 excess to optimize funding. + +At the OTC counterparties: + + +- we hedge the exposure (which is just the trade navs). |
