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Methodologies / fx-layered-hedge

Layered Hedge Allocation

Allocate forecast exposure across labelled layers; residual is uncovered fraction.

v1.0fx-layered-hedge

Formula

residual = 1 − Σ coverage_fraction; amount_i = forecast × coverage_i

Assumptions

Coverage fractions are non-negative and sum to ≤ 1.

Limitations

Not a recommendation of instruments or hedge ratios.

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