The name is absent



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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