Uses of Package
com.quantfinlib.pricing

Packages that use com.quantfinlib.pricing
Package
Description
com.quantfinlib.crb
The central risk book — one netted view of the firm's risk across desks and products, and the machinery that monetizes it.
com.quantfinlib.hedging
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).
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).