Uses of Class
com.quantfinlib.hedging.OptionsBook
Packages that use OptionsBook
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 in com.quantfinlib.hedging
Methods in com.quantfinlib.hedging that return OptionsBookModifier and TypeMethodDescriptionOptionsBook.addOption(OptionsBook.OptionPosition position) OptionsBook.addOption(String label, BlackScholes.OptionType type, double strike, double expiryYears, double quantity, double impliedVol) OptionsBook.addUnderlying(double quantity) Adds (or hedges with) the underlying; negative = short.