Class CrbHedgeUniverse

java.lang.Object

com.quantfinlib.crb.CrbHedgeUniverse

public final class CrbHedgeUniverse
extends Object

The hedge-instrument universe, aligned to a book's factor registry — because hand-assembling loadings[factor][instrument] is the most error-prone step in the whole hedging workflow (one transposed index and the optimizer confidently hedges the wrong thing).

Each instrument declares what ONE UNIT of its notional does to the factor space, in the same conventions CentralRiskBook books with:

• addSingleFactor(java.lang.String, java.lang.String, double) — an instrument that is 1-for-1 one factor: an index future onto EQ:<index> (the covariance carries its correlation to the single names — the regression hedge falls out of the optimizer, not out of a beta table), a variance swap onto EQVEGA:<sym>, an FX vol trade onto FXVEGA:<pair>;
• addFxForward(java.lang.String, java.lang.String, double, double) — one unit of base notional loads CCY:<base> +1 and CCY:<quote> −rate, exactly like a booked spot/forward — the natural hedge for the currency legs that spot, swaps, NDFs and option deltas net into;
• add(java.lang.String, double, java.lang.String[], double[]) — anything else, factor names and per-unit loadings side by side.

Factors named here are REGISTERED on the shared registry if new (a hedge-only factor simply has zero book exposure), and loadings() materializes the matrix at the registry's CURRENT size — build it after all booking and adding is done, and feed it straight to HedgeOptimizer/CrbAutoHedger with costs(). Research lane, single-threaded.

Constructor Summary

Constructors

Constructor	Description
CrbHedgeUniverse(FactorRegistry registry)

Method Summary

Modifier and Type	Method	Description
CrbHedgeUniverse	add(String name, double costPerUnit, String[] factors, double[] perUnit)	A general instrument: per-unit loadings onto named factors.
CrbHedgeUniverse	addFxForward(String name, String pair, double rate, double costPerUnit)	An FX forward/spot hedge on pair: one unit of base notional loads the two currency legs exactly as a booked trade would.
CrbHedgeUniverse	addSingleFactor(String name, String factor, double costPerUnit)	An instrument that is one unit of exactly one factor.
double[]	costs()	Per-unit costs aligned with loadings() columns.
double[][]	loadings()	The loadings matrix [factor][instrument] at the registry's CURRENT size — call after all booking/adding, alongside costs().
String	name(int instrument)	Instrument name for a CrbAutoHedger.HedgeOrder.instrument() index.
int	size()

Methods inherited from class java.lang.Object

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

Constructor Details

CrbHedgeUniverse

public CrbHedgeUniverse(FactorRegistry registry)

Parameters:

registry - the book's registry — book.factors()

Method Details

addSingleFactor

public CrbHedgeUniverse addSingleFactor(String name,
 String factor,
 double costPerUnit)

An instrument that is one unit of exactly one factor.

addFxForward

public CrbHedgeUniverse addFxForward(String name,
 String pair,
 double rate,
 double costPerUnit)

An FX forward/spot hedge on pair: one unit of base notional loads the two currency legs exactly as a booked trade would.

add

public CrbHedgeUniverse add(String name,
 double costPerUnit,
 String[] factors,
 double[] perUnit)

A general instrument: per-unit loadings onto named factors.

loadings

public double[][] loadings()

The loadings matrix [factor][instrument] at the registry's CURRENT size — call after all booking/adding, alongside costs().

costs

public double[] costs()

Per-unit costs aligned with loadings() columns.

name

public String name(int instrument)

Instrument name for a CrbAutoHedger.HedgeOrder.instrument() index.

size

public int size()