Optimal Currency Hedge Ratio Calculator vs Currency Variance Swap Payout Calculator
Two calculators for the same neighbourhood of questions. Here is what each measures, what you feed in, and where you'd reach for one over the other.
Optimal Currency Hedge Ratio Calculator
Calculates the optimal notional amount of futures contracts needed to hedge a given currency exposure, balancing correlation and variance between spot and futures prices. Ideal for treasurers and portfolio managers reducing FX risk.
- Answers
- Optimal Hedge Amount ($)
- Inputs
- Currency Exposure, Spot Rate Variance, Futures Price Variance, Correlation Coefficient, Target Hedge Effectiveness
Currency Variance Swap Payout Calculator
Calculate the periodic payout of a currency variance swap by comparing realized variance to the strike variance over a given tenor. Used by options traders and risk managers settling volatility positions.
- Answers
- Variance Swap Payout ($)
- Inputs
- Variance Notional, Strike Variance, Realized Variance, Swap Tenor, Payment Frequency
At a glance
| Optimal Currency Hedge Ratio Calculator | Currency Variance Swap Payout Calculator | |
|---|---|---|
| Category | Currency Advanced | Currency Advanced |
| Answers | Optimal Hedge Amount | Variance Swap Payout |
| Inputs | 5 | 5 |
| Result unit | $ | $ |
When to use each
Calculates the optimal notional amount of futures contracts needed to hedge a given currency exposure, balancing correlation and variance between spot and futures prices. Ideal for treasurers and portfolio managers reducing FX risk.
Calculate the periodic payout of a currency variance swap by comparing realized variance to the strike variance over a given tenor. Used by options traders and risk managers settling volatility positions.