Uses of Package
com.quantfinlib.hedging
Packages that use com.quantfinlib.hedging
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Classes in com.quantfinlib.hedging used by com.quantfinlib.hedgingClassDescriptionHedging settings.One currency exposure, signed, in base-currency terms.Per-unit Greeks of a hedge instrument (the underlying is delta=1, gamma=0, vega=0).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.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.Aggregated book value and Greeks.One option position;
quantityin option units (contract multiplier applied by caller).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 inunexplained.The rebalancing decision: trade (to the nearest edge) or hold.