Uses of Record Class
com.quantfinlib.pricing.TriangularArbitrage.Quote

Packages that use TriangularArbitrage.Quote

Package

Description

com.quantfinlib.pricing

Fair value and derivatives pricing: BlackScholes (Greeks with continuous carry — equities and Garman-Kohlhagen FX — plus implied vol), BinomialTree (CRR American/European), VolSurface (pillar smiles, total-variance term interpolation), SabrModel (Hagan 2002 + calibration), FairValueEngine (microprice and latency-adjusted true mid), TriangularArbitrage (executable FX round-trip edge), ForwardCurve (FX forwards with covered-interest-parity checks), the exotics (DigitalOption, TouchOption, BarrierOption, VannaVolga) and Autocallable (the flagship equity structured product: memory coupons, autocall observations, European knock-in — Monte Carlo with antithetic variates under documented GBM simplifications; RFQ market structure for trading it lives in rfq).

Uses of TriangularArbitrage.Quote in com.quantfinlib.pricing

Methods in com.quantfinlib.pricing with parameters of type TriangularArbitrage.Quote

Modifier and Type	Method	Description
static double	TriangularArbitrage.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	TriangularArbitrage.exists(TriangularArbitrage.Quote ab, TriangularArbitrage.Quote bc, TriangularArbitrage.Quote ac, double thresholdBps)	True when the executable edge exceeds thresholdBps (e.g. costs).
static double	TriangularArbitrage.impliedCrossMid(TriangularArbitrage.Quote ab, TriangularArbitrage.Quote bc)	The no-arbitrage cross rate implied by the two leg mids.