Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 26 two separate streams, one with positive values and the other with negative values. Please note that the formula is identical to the standard duration formula that is employed in the case of interest rate sensitivity analyses. A simple variation of a value-based tenor metric would be to organize the expected values along the time line and report them as the average tenor of the portfolio, the time by which 50% of the reported total value is expected to be captured. 7.2 Calculation In order to derive the tenor metric, we can use a formula typically used to calculate duration (shown below). Calculation of the tenor metric described above requires the following building blocks: the present value (PV) of each element constituting the portfolio in question and the time period or tenor of each element. Inherent to the PV calculation are the notional value (Ct), the appropriate discount rate, and hence the corresponding PV (Ct). The tenor then is simply the time-weighted PV for each element, as given by the formula below. (Please see Appendix E for more detail.) Tenor or duration * t P PV T t  =1       = ) (Ct Tenor or duration * t P C PV T t t  =       = 1 ) ( Where: − t is the time at which the cash flow or value Ct is received, − T is the time at which the last cash-flow/value is received. PV (Ct) is the present value of the cash flow or value at time t, given by t (1+r) Ct Present value of cash flow, PV(Ct )= t r) (1 + = t C t r) (1 + = t C Present value of cash flow, PV(C t ) Where r is the appropriate discount rate for the tth element of the portfolio. P is the total current value or present value of the portfolio, given by  =1 T t PV ) (Ct Total current value of portfolio, P =  = T t t C PV 1 ) ( Total current value of portfolio, P = 8.0 Hedge Metrics 8.1 Discussion of Metric Stakeholders are often interested in understanding the amount of activity that has been hedged for the output of an owned asset or portfolio. The more activity that has been hedged with