# Hedge Calculator

## Hedge Calculator (Funding Rate Swap / CFI v2.1)

This calculator sizes a **CFI v2** hedge for a perp position so you can convert floating funding into paying (or receiving) the **fixed leg**.

CFI v2 hedge property:

* For a long perp notional `N_perp`, a long CFI hedge notional `N_hedge` offsets floating funding and leaves you paying fixed. :contentReference\[oaicite:18]{index=18}
* With a volatility multiplier `L` in the oracle mapping, the hedge notional becomes:\
  `N_hedge = N_perp / L` :contentReference\[oaicite:19]{index=19}

***

### Inputs

#### Position

* **Underlying perp direction:** Long or Short
* **Underlying perp notional (USD):** `N_perp`

#### CFI market parameters

* **Volatility multiplier:** `L` (default 12.75 in Profile H1) :contentReference\[oaicite:20]{index=20}
* **CFI swap price (USDC):** `P_swap` (current mark/oracle in the orderbook UI)

#### Hedge preference

* **Hedge fraction:** `h` (0 to 1; default 1.0 for “full lock”)

***

### Step 1 — Compute hedge notional (USD)

**Full hedge (locks funding to fixed leg):** `N_hedge = (N_perp / L) · h` :contentReference\[oaicite:21]{index=21}

**Direction rule**

* If you are **LONG** the underlying perp → take **LONG** the CFI swap
* If you are **SHORT** the underlying perp → take **SHORT** the CFI swap

(Reason: the swap position offsets the sign of floating funding payments so the combined exposure becomes fixed-leg.)

***

### Step 2 — Convert hedge notional to contract size

On Hyperliquid-style perps, notional is approximately:

`notional ≈ |size| × price`

So the CFI contract size is:

`size_swap ≈ N_hedge / P_swap`

***

### Worked examples

#### Example A — From the CFI v2 spec

Underlying perp notional: `N_perp = $10,000,000`\
Profile H1: `L = 12.75` :contentReference\[oaicite:22]{index=22}

Hedge notional: `N_hedge = 10,000,000 / 12.75 ≈ 784,314`

If swap price `P_swap = 75,000`: `size_swap ≈ 784,314 / 75,000 ≈ 10.457 contracts`

#### Example B — Smaller account

Underlying perp notional: `$100,000`\
L = 12.75\
Swap price = 75,000

`N_hedge ≈ 7,843`\
`size_swap ≈ 0.105`

***

### Spreadsheet formulas (copy/paste)

Assume:

* A2 = Underlying notional (USD)
* B2 = L
* C2 = Hedge fraction h
* D2 = Swap price

HedgeNotional (USD): `= (A2 / B2) * C2`

SwapSize (contracts): `= HedgeNotional / D2`

Direction:

* If underlying is Long → swap is Long
* If underlying is Short → swap is Short

***

```js
function cfiHedge({ underlyingNotionalUSD, L, hedgeFraction, swapPrice }) {
  const Nhedge = (underlyingNotionalUSD / L) * hedgeFraction;
  const size = Nhedge / swapPrice;
  return { hedgeNotionalUSD: Nhedge, swapSizeContracts: size };
}

// Example:
console.log(
  cfiHedge({
    underlyingNotionalUSD: 10_000_000,
    L: 12.75,
    hedgeFraction: 1.0,
    swapPrice: 75_000
  })
);
```


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