Tunnel Option - Bill Factors

Prices

This example uses the same bill factors for prices as the simple Hedge Cover example. It has a Strike Price bill factor and a Market price bill factor. Refer to Hedge Cover - Bill Factors for more information.

Tunnel Percentages

We will also use bill factors to define the tunnel percentages. The easiest thing to do is create a separate bill factor for the High Tunnel Percentage and the Low Tunnel Percentage. These will be simple bill factors with a characteristic of N/A.