QM029 Hands-on Lab: FX Overlay Accounting
Objective
Verify base-currency return accounting for an unhedged portfolio, apply a stylized partial hedge, and demonstrate why the latest raw FX observation can differ from the latest admissible observation.
Run
python labs/python/qm029_fx_overlay.pyWhat to inspect
- Does exact KRW wealth equal
(1 + USD return) * (1 + FX return) - 1? - How does a partial hedge change the FX contribution?
- Which FX timestamp is raw and which is admissible after the common-close cap?
- Why would using the raw-but-inadmissible observation create an information-clock mismatch?
Interpretation boundary
The hedge formula in the lab is stylized and excludes instrument-specific forward pricing details. It is for accounting and timing verification, not a recommendation for any hedge ratio.