Hedging
Class VectorDeltaHedge

java.lang.Object
  Hedging.VectorHedge
      Hedging.VectorDeltaHedge

public class VectorDeltaHedge

extends VectorHedge

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

Constructor Summary

VectorDeltaHedge(Basket underlying, BasketOption option, Trigger rebalance, int whichDelta, int nBranch, double fixed_trc, double prop_trc)

Methods inherited from class Hedging.VectorHedge

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

VectorDeltaHedge

public VectorDeltaHedge(Basket underlying,
                        BasketOption 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.