Uses of Record Class
com.quantfinlib.hedging.OptionsBook.PnlExplain
Packages that use OptionsBook.PnlExplain
Package
Description
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 OptionsBook.PnlExplain in com.quantfinlib.hedging
Methods in com.quantfinlib.hedging that return OptionsBook.PnlExplainModifier and TypeMethodDescriptionOptionsBook.pnlExplain(double newSpot, double volShift, double timeDecayYears) Delta-gamma-vega-theta Pinvalid input: '&L' explain versus full revaluation: how much of the actual move the Greeks account for, and what is left unexplained (higher-order and cross terms).