Uses of Class
com.quantfinlib.rfq.RfqAuction

Packages that use RfqAuction
Package
Description
com.quantfinlib.rfq
RFQ market structure for equity derivatives — structured products have no order book; they trade by request-for-quote against a dealer panel: RfqAuction (one auction: best price by the client's direction, the industry-standard cover price, spread to a model fair-value anchor such as pricing.Autocallable.price) and RfqDealerScorecard (streaming per-dealer quality across auctions — quote rate, response time, spread to fair, win rate — the panel-selection input, persistable via persist.Checkpoint).

  • Uses of RfqAuction in com.quantfinlib.rfq

    Methods in com.quantfinlib.rfq with parameters of type RfqAuction
    Modifier and Type
    Method
    Description
    void
    RfqDealerScorecard.onAuction(RfqAuction auction)
    Records a finished auction: every dealer on the panel is scored (quoted or declined), quoters add response time and — when the auction carried a fair-value anchor — spread to fair.