Class OptionsBook

java.lang.Object

com.quantfinlib.hedging.OptionsBook

public final class OptionsBook
extends Object

An options book on one underlying: aggregate Greeks across positions, spot×vol scenario grids, and delta-gamma-vega-theta P&L explain — the risk view a desk runs, not a single option.

Positions carry their own implied vols (smile-aware if fed from VolSurface); quantities are signed (negative = short). The underlying hedge position is part of the book, so net delta reflects the hedged residual.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	OptionsBook.BookGreeks	Aggregated book value and Greeks.
static final record	OptionsBook.OptionPosition	One option position; quantity in option units (contract multiplier applied by caller).
static final record	OptionsBook.PnlExplain	Taylor attribution of a P&L move: delta, gamma, vega, vanna (∂²V/∂S∂σ · dS·dσ), volga (½·∂²V/∂σ² · dσ²) and theta, with the remainder in unexplained.

Constructor Summary

Constructors

Constructor	Description
OptionsBook(double spot, double rate, double carry)

Method Summary

Modifier and Type	Method	Description
OptionsBook	addOption(OptionsBook.OptionPosition position)
OptionsBook	addOption(String label, BlackScholes.OptionType type, double strike, double expiryYears, double quantity, double impliedVol)
OptionsBook	addUnderlying(double quantity)	Adds (or hedges with) the underlying; negative = short.
OptionsBook.BookGreeks	greeks()	Aggregated Greeks: options plus the underlying (delta 1 per unit).
OptionsBook.PnlExplain	pnlExplain(double newSpot, double volShift, double timeDecayYears)	Second-order P&L explain versus full revaluation:
List<OptionsBook.OptionPosition>	positions()
double[][]	scenarioGrid(double[] spotShiftsPct, double[] volShiftsAbs)	Spot×vol scenario P&L grid (full revaluation, no time decay): grid[i][j] = P&L at spot shifted by spotShiftsPct[i] (fraction, 0.05 = +5%) and vol shifted by volShiftsAbs[j] (absolute, 0.02 = +2 vol points).
double	spot()
double	underlyingQuantity()
double	value()	Book value at current market (options MTM + underlying).
double	valueAt(double newSpot, double volShift, double timeDecayYears)	Full revaluation at a shifted market (parallel vol shift, time decay).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

OptionsBook

public OptionsBook(double spot,
 double rate,
 double carry)

Method Details

addOption

public OptionsBook addOption(OptionsBook.OptionPosition position)

addOption

public OptionsBook addOption(String label,
 BlackScholes.OptionType type,
 double strike,
 double expiryYears,
 double quantity,
 double impliedVol)

addUnderlying

public OptionsBook addUnderlying(double quantity)

Adds (or hedges with) the underlying; negative = short.

spot

public double spot()

positions

public List<OptionsBook.OptionPosition> positions()

underlyingQuantity

public double underlyingQuantity()

value

public double value()

Book value at current market (options MTM + underlying).

greeks

public OptionsBook.BookGreeks greeks()

Aggregated Greeks: options plus the underlying (delta 1 per unit).

valueAt

public double valueAt(double newSpot,
 double volShift,
 double timeDecayYears)

Full revaluation at a shifted market (parallel vol shift, time decay).

scenarioGrid

public double[][] scenarioGrid(double[] spotShiftsPct,
 double[] volShiftsAbs)

Spot×vol scenario P&L grid (full revaluation, no time decay): grid[i][j] = P&L at spot shifted by spotShiftsPct[i] (fraction, 0.05 = +5%) and vol shifted by volShiftsAbs[j] (absolute, 0.02 = +2 vol points).

pnlExplain

public OptionsBook.PnlExplain pnlExplain(double newSpot,
 double volShift,
 double timeDecayYears)

Second-order P&L explain versus full revaluation:

  dV ≈ Δ·dS + ½Γ·dS² + ν·dσ + vanna·dS·dσ + ½volga·dσ² + Θ·dt

with Black-Scholes-Merton vanna −e^{−qT}·φ(d1)·d2/σ and volga ν·d1·d2/σ per position (Haug, The Complete Guide to Option Pricing Formulas, 2nd ed., 2.2). volShift is a parallel absolute shift of every position's implied vol (no smile dynamics); theta is per year, so timeDecayYears multiplies it directly. Rho and the time cross terms are left in unexplained.