Class HedgingErrorDistribution

java.lang.Object
com.quantfinlib.hedging.HedgingErrorDistribution
public final class HedgingErrorDistribution extends Object
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. P&L is the replication error of the short-option hedge (positive = the hedge portfolio beat the payoff).

  • Method Details

    • paths

      public int paths()

    • premium

      public double premium()

    • mean

      public double mean()

    • stdDev

      public double stdDev()

    • meanTradingCosts

      public double meanTradingCosts()

    • meanRebalances

      public double meanRebalances()

    • worst

      public double worst()

    • best

      public double best()

    • percentile

      public double percentile(double p)

    • probabilityOfLoss

      public double probabilityOfLoss()
      Fraction of paths where the hedge lost money.

    • valueAtRisk

      public double valueAtRisk(double confidence)
      Hedging VaR: loss at the given confidence, as a positive number (0 if a gain).

    • conditionalValueAtRisk

      public double conditionalValueAtRisk(double confidence)
      Expected loss beyond the VaR quantile, as a positive number.

    • relativeHedgeError

      public double relativeHedgeError()
      Replication error as a fraction of the premium (std / premium).

    • toString

      public String toString()
      Overrides:
      toString in class Object