Examples.Hedging
Class CallmDeltaHedge

java.lang.Object
  Examples.Hedging.CallmDeltaHedge

public class CallmDeltaHedge

extends java.lang.Object

Computes mean and standard deviation of call hedge P&L over a variety of strikes and maturities. Compares the performance of classical analytic deltas with analytic market deltas. The hedge is rebalanced at each time step. Paths of the underlying are simulated in the market probability. Output is written to the file "CallmDeltaHedge.txt".

Console program, no user interaction. All parameters fixed in source code.

Constructor Summary

CallmDeltaHedge()

Method Summary

static void

main(java.lang.String[] args)

Methods inherited from class java.lang.Object

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

Constructor Detail

CallmDeltaHedge

public CallmDeltaHedge()

Method Detail

main

public static void main(java.lang.String[] args)
                 throws java.io.IOException

Throws:

java.io.IOException