Package com.quantfinlib.crb

package com.quantfinlib.crb

The central risk book — one netted view of the firm's risk across desks and products, and the machinery that monetizes it.

A CRB exists because two desks paying the street to shed opposite risks is money burned twice. The flow here: every instrument — cash equities, listed equity options, FX spot, FX swaps, NDFs, FX options — decomposes into a COMMON factor space at booking (CentralRiskBook: equity deltas per symbol, currency-level FX deltas so spot/swap/NDF/option legs net, dollar gamma and vega per underlying, forward-points risk). Incoming flow is priced with an inventory skew (SkewedQuoter) and either internalized or routed (InternalizationEngine: risk-reducing flow earns price improvement, risk-adding flow is warehoused only inside the limit). The residual is watched by CrbAutoHedger (band breach → hedge the EXCESS only) through HedgeOptimizer (minimum variance with an L1 cost term — expensive instruments get exactly zero) over a CrbHedgeUniverse (the loadings-matrix builder), and hedge orders route through CrbRouter: internal cross first (the book is the firm's best dark pool), adverse-selection-priced dark venues second, lit last. CrbPnlLedger keeps the score: did the captured spread pay for the hedging?

Everything is deterministic, single-threaded, research/warm lane (interval cadence — the ULL lanes live in trading and marketdata). CentralRiskBook.report hands the netted book to VarEngine for VaR/ES and prices the diversification benefit of running risk centrally.

Class	Description
CentralRiskBook	The central risk book — one netted view of the firm's market risk across desks and products.
CentralRiskBook.CrbReport
CrbAutoHedger	The central risk book's hedging loop: per-factor exposure BANDS, a cost-aware hedge when breached, and a cooldown so the book does not chase its own hedges.
CrbAutoHedger.HedgeOrder	One instrument's hedge instruction.
CrbHedgeUniverse	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).
CrbPnlLedger	The central risk book's ECONOMICS ledger — the number the desk head actually asks for at the close: did the spread we captured by internalizing pay for the hedging we did?
CrbRouter	The central risk book's order router — internal cross first, dark pools second, lit last, each leg priced honestly: Internal — crossing against the book's own offsetting inventory costs ZERO bps and leaks nothing: the CRB itself is the firm's first and best dark pool.
CrbRouter.Allocation	Where the notional went.
CrbRouter.DarkVenue	A dark venue as the router sees it.
FactorRegistry	Dense integer ids for risk-factor names — the SymbolRegistry pattern applied to the central risk book's factor space, so exposure arithmetic runs over primitive arrays while the factor names stay readable (EQ:AAPL, CCY:EUR, FXVEGA:EURUSD).
HedgeOptimizer	Cost-aware minimum-variance hedging of the central risk book's residual — the question is never "how do we flatten this" (sell everything) but "what is the CHEAPEST basket of liquid instruments that takes the risk below the limit".
InternalizationEngine	The internalize-or-route decision — the economics that justify a central risk book's existence.
InternalizationEngine.Decision	Where one flow went, and what the client got for it.
SkewedQuoter	Inventory-skewed two-way pricing — the central risk book's quoting face.
SkewedQuoter.Quote	A shaded two-way price.