Hedging
Class DeltaHedge

java.lang.Object
  Hedging.Hedge
      Hedging.DeltaHedge

public class DeltaHedge

extends Hedge

Hedge using a delta hedge (defined in the package TradingStrategies) as the trading strategy hedging the option payoff.

Constructor Summary

DeltaHedge(Asset underlying, Option option, Trigger rebalance, int whichDelta, int nBranch, double fixed_trc, double prop_trc)

Method Summary

static void

main(java.lang.String[] args) Test program.

Methods inherited from class Hedging.Hedge

discountedHedgeGain, discountedHedgeGainAndNumberOfTrades, get_hedgeStrategy, get_option, get_underlying, hedgeMeanAndStandardDeviation, hedgeMeanAndStandardDeviation, hedgeStatistics, newDiscountedHedgeGain, newDiscountedHedgeGainAndNumberOfTrades, newHedgeStatistics

Methods inherited from class java.lang.Object

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

Constructor Detail

DeltaHedge

public DeltaHedge(Asset underlying,
                  Option option,
                  Trigger rebalance,
                  int whichDelta,
                  int nBranch,
                  double fixed_trc,
                  double prop_trc)

Parameters:

underlying - asset underlying the option.

option - option to be hedged.

rebalance - trigger triggering the hedge trades.

whichDelta - flag identifying type of hedge delta used.

nBranch - number of asset price path branches spent on each conditional expectation.

fixed_trc - fixed transaction costs per trade.

prop_trc - proportional transaction costs per trade.

Method Detail

main

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

Test program. Allocates a delta hedge. Checks if initialization goes through.