Uses of Package
com.quantfinlib.hedging
Packages that use com.quantfinlib.hedging
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).-
Classes in com.quantfinlib.hedging used by com.quantfinlib.hedgingClassDescriptionOne currency exposure, signed, in base-currency terms.Per-unit Greeks of a hedge instrument (the underlying is delta=1, gamma=0, vega=0).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.An options book on one underlying: aggregate Greeks across positions, spot×vol scenario grids, and delta-gamma-vega-theta Pinvalid input: '&L' explain — the risk view a desk runs, not a single option.Aggregated book value and Greeks.One option position;
quantityin option units (contract multiplier applied by caller).First/second-order attribution of a Pinvalid input: '&L' move.The rebalancing decision: trade (to the nearest edge) or hold.