Uses of Class
com.quantfinlib.hedging.HedgingErrorDistribution

Packages that use HedgingErrorDistribution

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 HedgingErrorDistribution in com.quantfinlib.hedging

Methods in com.quantfinlib.hedging that return HedgingErrorDistribution

Modifier and Type	Method	Description
HedgingErrorDistribution	HedgingSimulator.simulate(BlackScholes.OptionType type, double spot, double strike, double expiryYears, double rate, double carry, double hedgeVol, double realizedVol, int stepsPerPath, int numPaths, DeltaHedger.Config hedgeConfig)