What the tool does
- Your existing hedge book — not a new or proposed structure — the five market scenarios are applied to what you're already hedged with today.
- For options and structured forwards, delivered volume isn't fixed — it depends on the fixing, and each of the five scenarios maps to a point on the market vol smile, from strongly bullish to strongly bearish.
- Payout logic differs by product type — knocked-out options and untriggered knock-ins deliver zero, participating forwards deliver only the leverage share — spot and plain forwards always deliver in full.
- Results aggregated by maturity period — hedge bar, net position and hedge ratio per scenario, down to the underlying fixing for each position.
Output: Delivered volume per scenario & maturity period · net position · hedge ratio.
Deliberately separate from Section 04 "Scenario Simulations": 04 helps you choose a new structure; 08 shows how much of what you already hold actually gets delivered under each scenario.