Uses of Record Class
com.quantfinlib.hedging.GreekHedger.Instrument

Packages that use GreekHedger.Instrument

Package

Description

com.quantfinlib.hedging

Hedging algorithms across asset classes: DeltaHedger (dynamic delta hedging with bands and costs) and HedgingSimulator (Monte Carlo hedging-error distributions), GreekHedger (delta-gamma-vega neutralization), OptionsBook (book-level Greeks, scenario grids, P&L explain), MinimumVarianceHedge (optimal ratios, futures sizing), FxHedger (exposure netting, forward carry), PairsHedger (spread construction, half-life), CointegrationTest (Engle-Granger — the statistical gate before a pairs trade) and WhalleyWilmott (the OPTIMAL no-trade band around delta — the width the band hedgers take as configuration SHOULD come from here, with the hedge-to-nearest-edge policy).

Uses of GreekHedger.Instrument in com.quantfinlib.hedging

Methods in com.quantfinlib.hedging that return GreekHedger.Instrument

Modifier and Type	Method	Description
static GreekHedger.Instrument	GreekHedger.Instrument.underlying(String name)

Methods in com.quantfinlib.hedging with parameters of type GreekHedger.Instrument

Modifier and Type	Method	Description
static double[]	GreekHedger.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[]	GreekHedger.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[]	GreekHedger.residualGreeks(double[] portfolioGreeks, GreekHedger.Instrument[] instruments, double[] quantities)	Residual portfolio Greeks after applying the hedge quantities (for verification).