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12

Table 4. Effect of Yield Basis Risk on Net Revenue Probability Density Functions
(Hedging using price and yield futures)

Net

Revenue

'cy

(0.2)

'cy

(0.4)

'cy

(0.621)(0.8)

'cy

(1.0)

'cy

<45

3.4

2.2

08

0.1

0.0

45-70

5.3

3.8

2.7

1.0

0.1

70- 95

10.4

10.5

8.6

5.9

1.3

95-120

17.1

18.1

20.1

21.0

13.2

120-145

22.4

25.3

30.1

37.7

63.6

145-170

19.4

21.0

24.0

26.4

21.2

170-195

13.1

12.8

10.6

6.8

0.6

195-220

6.2

4.7

2.6

1.0

0.0

220-245

2.0

1.1

0.5

0.1

0.0

>245

0.7

0.3

0.1

0.0

0.0

100%

100%

100%

100%

100%

Mean ($)

134.17

134.19

134.20

134.19

134.15

Variance

2199

1696

1144

702

218

HE

0.229

0.406

0.599

0.754

0.923

'cp , 'sp and 'sy are held constant at 0.973, 0.995 and 0.876 respectively.



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