Class FiniteDifferenceDeltaHedgedPortfolio

  • All Implemented Interfaces:
    Product, AssetMonteCarloProduct, MonteCarloProduct

    public class FiniteDifferenceDeltaHedgedPortfolio
    extends AbstractAssetMonteCarloProduct
    This class implements a delta hedged portfolio of a given product (a hedge simulator). The hedge is done using a given model to calculate delta via finite difference.
    WARNING: If the model used for calculating the delta is "slow" (e.g., a Monte-Carlo simulation) then the calculation might take very long.
    Christian Fries