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.