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DRC Sec CTP HBR
Description |
The hedge benefit ratio, or Weighted to Short ratio (restricted to the current location) |
Reference |
[MAR22.44] |
Notation |
$HBR$ |
Formula |
$$HBR=\frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \left | netJtD_{short} \right |}$$ |
See also