Package com.quantfinlib.rfq
package 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). The RFQ siblings of
execution.VenueScorecard (order-book venues) and
fx.LpScorecard (FX quote streams): three market structures,
one learned-counterparty-quality discipline.-
ClassesClassDescriptionOne request-for-quote auction — how equity derivatives actually trade.Streaming per-dealer RFQ quality — the structured-products sibling of
execution.VenueScorecardandfx.LpScorecard: over many auctions, which dealers actually show up, how fast, how competitively, and how often they win.