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}

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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”)

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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.)

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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

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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

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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

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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
  })
);