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We have h, the hedge ratio and want to find N, the optimal # of contracts. N= (h x size of hedged position)/ size of
We have h, the hedge ratio and want to find N, the optimal # of contracts.
N= (h x size of hedged position)/ size of futures contracts
However, in this case it is a cross-hedge so the hedged position and the futures contract are in different currencies.
So does it make sense if we divide lets say Swedish Krona by Swiss Franc?
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