Class TriangularArbitrage

java.lang.Object

com.quantfinlib.pricing.TriangularArbitrage

public final class TriangularArbitrage
extends Object

Triangular arbitrage checks over three related FX pairs, using dealable bid/ask quotes (not mids), so a positive result is executable edge before fees.

Conventions: ab is the price of one unit of A in B, bc of one B in C, ac of one A in C — e.g. A=EUR, B=USD, C=JPY: ab=EURUSD, bc=USDJPY, ac=EURJPY.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	TriangularArbitrage.Quote

Method Summary

Modifier and Type	Method	Description
static double	arbitrageBps(TriangularArbitrage.Quote ab, TriangularArbitrage.Quote bc, TriangularArbitrage.Quote ac)	Best executable round-trip edge in basis points (positive = arbitrage): Path 1 — buy A synthetically via B (ab.ask * bc.ask) and sell it directly at ac.bid. Path 2 — buy A directly at ac.ask and sell it via B at ab.bid * bc.bid.
static boolean	exists(TriangularArbitrage.Quote ab, TriangularArbitrage.Quote bc, TriangularArbitrage.Quote ac, double thresholdBps)	True when the executable edge exceeds thresholdBps (e.g. costs).
static double	impliedCrossMid(TriangularArbitrage.Quote ab, TriangularArbitrage.Quote bc)	The no-arbitrage cross rate implied by the two leg mids.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

arbitrageBps

public static double arbitrageBps(TriangularArbitrage.Quote ab,
 TriangularArbitrage.Quote bc,
 TriangularArbitrage.Quote ac)

Best executable round-trip edge in basis points (positive = arbitrage):

• Path 1 — buy A synthetically via B (ab.ask * bc.ask) and sell it directly at ac.bid.
• Path 2 — buy A directly at ac.ask and sell it via B at ab.bid * bc.bid.

exists

public static boolean exists(TriangularArbitrage.Quote ab,
 TriangularArbitrage.Quote bc,
 TriangularArbitrage.Quote ac,
 double thresholdBps)

True when the executable edge exceeds thresholdBps (e.g. costs).

impliedCrossMid

public static double impliedCrossMid(TriangularArbitrage.Quote ab,
 TriangularArbitrage.Quote bc)

The no-arbitrage cross rate implied by the two leg mids.