Class GreekHedger

java.lang.Object

com.quantfinlib.hedging.GreekHedger

public final class GreekHedger
extends Object

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.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	GreekHedger.Instrument	Per-unit Greeks of a hedge instrument (the underlying is delta=1, gamma=0, vega=0).

Method Summary

Modifier and Type	Method	Description
static double[]	deltaGammaHedge(double portfolioDelta, double portfolioGamma, double optionDelta, double optionGamma)	Delta-gamma hedge with the underlying plus one option: returns [underlyingQty, optionQty] that zero both Greeks.
static double[]	deltaGammaVegaHedge(double portfolioDelta, double portfolioGamma, double portfolioVega, GreekHedger.Instrument option1, GreekHedger.Instrument option2)	Delta-gamma-vega hedge with the underlying plus two options: returns [underlyingQty, option1Qty, option2Qty].
static double[]	neutralize(double[] portfolioGreeks, GreekHedger.Instrument[] instruments)	General case: solves per-instrument quantities so that the summed instrument Greeks exactly offset the portfolio Greeks.
static double[]	residualGreeks(double[] portfolioGreeks, GreekHedger.Instrument[] instruments, double[] quantities)	Residual portfolio Greeks after applying the hedge quantities (for verification).

Methods inherited from class java.lang.Object

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

Method Details

deltaGammaHedge

public static double[] deltaGammaHedge(double portfolioDelta,
 double portfolioGamma,
 double optionDelta,
 double optionGamma)

Delta-gamma hedge with the underlying plus one option: returns [underlyingQty, optionQty] that zero both Greeks.

deltaGammaVegaHedge

public static double[] deltaGammaVegaHedge(double portfolioDelta,
 double portfolioGamma,
 double portfolioVega,
 GreekHedger.Instrument option1,
 GreekHedger.Instrument option2)

Delta-gamma-vega hedge with the underlying plus two options: returns [underlyingQty, option1Qty, option2Qty].

neutralize

public static double[] neutralize(double[] portfolioGreeks,
 GreekHedger.Instrument[] instruments)

General case: solves per-instrument quantities so that the summed instrument Greeks exactly offset the portfolio Greeks. The number of instruments must equal the number of Greeks (portfolioGreeks = [delta, gamma, vega][..count]), and the instrument Greeks must be linearly independent.

residualGreeks

public static double[] residualGreeks(double[] portfolioGreeks,
 GreekHedger.Instrument[] instruments,
 double[] quantities)

Residual portfolio Greeks after applying the hedge quantities (for verification).