Package com.quantfinlib.hedging

@NullMarked package com.quantfinlib.hedging

Hedging algorithms across asset classes. The main classes: DeltaHedger (dynamic delta hedging with bands and costs) and HedgingSimulator (Monte Carlo hedging-error distributions), GreekHedger (delta-gamma-vega neutralization), OptionsBook (book-level Greeks, scenario grids, P&L explain), MinimumVarianceHedge (optimal ratios, futures sizing), FxHedger (exposure netting, forward carry), PairsHedger (spread construction, half-life), CointegrationTest (Engle-Granger, the statistical gate before a pairs trade) and WhalleyWilmott (the optimal no-trade band around delta; the width the band hedgers take as configuration should come from here, with the hedge-to-nearest-edge policy).

Class	Description
CointegrationTest	Engle-Granger two-step cointegration test: regress one price series on the other, then run an augmented Dickey-Fuller test (no constant) on the residual spread.
CointegrationTest.EngleGrangerResult
DeltaHedger	Dynamic delta hedging simulator: sell an option, then replicate it by trading the underlying along a price path, rebalancing whenever the delta drifts outside a band.
DeltaHedger.Config	Hedging settings.
DeltaHedger.HedgeReport
FxHedger	FX exposure hedging with forwards: nets currency exposures across a book, computes the variance-minimizing hedge ratio for a foreign-asset position, and prices the carry cost of the forward hedge from forward points.
FxHedger.FxExposure	One currency exposure, signed, in base-currency terms.
GreekHedger	Greek-neutralization: solves the hedge quantities that flatten a portfolio's option Greeks using available hedge instruments — the standard delta-gamma and delta-gamma-vega hedging recipes, plus a general linear solver for arbitrary greek/instrument combinations.
GreekHedger.Instrument	Per-unit Greeks of a hedge instrument (the underlying is delta=1, gamma=0, vega=0).
HedgingErrorDistribution	Distribution of delta-hedging P&L across Monte Carlo paths: how well the hedge replicates the option, where the tail risk sits, and what the hedging itself costs.
HedgingSimulator	Monte Carlo delta-hedging engine: runs DeltaHedger across thousands of GBM paths in parallel to produce the full hedging-error distribution — replication error, tail risk (hedging VaR/CVaR), and cost/rebalance statistics.
MinimumVarianceHedge	Minimum-variance and beta hedging with futures or a correlated proxy: Optimal hedge ratio h* = cov(asset, hedge) / var(hedge) — the classic OLS/minimum-variance ratio. Hedge effectiveness — the fraction of variance removed at the optimal ratio (= correlation², the standard 80%+ effectiveness test). Futures contract sizing — contracts to move a portfolio from its current beta to a target beta.
OptionsBook	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.
OptionsBook.BookGreeks	Aggregated book value and Greeks.
OptionsBook.OptionPosition	One option position; quantity in option units (contract multiplier applied by caller).
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.
PairsHedger	Statistical (pairs) hedging: regresses one price series on another to get the hedge ratio, builds the spread, and characterizes its mean reversion — z-score for entry/exit signals and half-life (from an AR(1) fit of spread changes on spread levels) for expected holding time.
PairsHedger.PairsAnalysis
WhalleyWilmott	Whalley-Wilmott optimal hedge bands — the answer to the question every band hedger otherwise guesses: how wide should the no-trade band around delta be?
WhalleyWilmott.Action	The rebalancing decision: trade (to the nearest edge) or hold.