1DISCRETEHEDGING(1)          General Commands Manual         DISCRETEHEDGING(1)
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NAME

6       DiscreteHedging - Example of using QuantLib
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SYNOPSIS

9       DiscreteHedging
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DESCRIPTION

12       DiscreteHedging is an example of using the QuantLib Monte Carlo simula‐
13       tion framework.
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15       By simulation, DiscreteHedging computes profit and loss of  a  discrete
16       interval  hedging  strategy  and compares with the outcome with the re‐
17       sults of Derman and Kamal's Goldman Sachs Equity  Derivatives  Research
18       Note  "When You Cannot Hedge Continuously: The Corrections to Black-Sc‐
19       holes".
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SEE ALSO

22       The source  code  DiscreteHedging.cpp,  BermudanSwaption(1),  Bonds(1),
23       CallableBonds(1), CDS(1), ConvertibleBonds(1), EquityOption(1), Fitted‐
24       BondCurve(1),  FRA(1),   MarketModels(1),   MulticurveBootstrapping(1),
25       Replication(1),  Repo(1),  the  QuantLib  documentation  and website at
26       https://www.quantlib.org,        http://www.gs.com/qs/doc/when_you_can‐
27       not_hedge.pdf
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AUTHORS

31       The QuantLib Group (see Contributors.txt).
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33       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
34       Debian GNU/Linux maintainer for QuantLib.
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38QuantLib                       20 September 2001            DISCRETEHEDGING(1)