{"repo":"kgeoffrey/AutoHedge.jl","free":true,"listed":false,"github":"https://github.com/kgeoffrey/AutoHedge.jl","clone":"git clone https://github.com/kgeoffrey/AutoHedge.jl.git","description":"Automatic Options Hedging and Backtesting","language":"Julia","stars":82,"topics":["delta-hedging","hedging","hedging-strategy","options","options-strategies","options-trading","quantitative-finance","automatic-differentiation","delta-gamma-hedge","greeks-neutralization"],"license":"MIT","category":"trading","readme_excerpt":"AutoHedge.jl This Julia package provides an implementation of automatic options hedging using automatic differentiation for obtaining the Greeks). The package allows users to easily create and backtest complicated hedging strategies for a portfolio of European options and their underlying asset. Installation To install the package, simply run the following command in the Julia REPL: Usage To use the automatic options hedging functionality provided by this package, you can import the package into your Julia session: Example #1: Delta Hedging Say you have a portfolio of 10 call options and you want to make your portfolio delta neutral. One way of achieving this is to buy or sell specific quantities of underlying stock - this is referred to as Delta Hedging[^1]. First create a portfolio, define the asset to be hedged (10 call options), and the array of hedging instruments (the underlying stock) and hedging strategies (delta in this case): CallOption takes the arguments S, K, T, r, v, q - which stand for spot price, strike price, passage of time, risk free rate, volatility and continuously compounded dividend yield. The S, T and q can be random upon initiation, as they will be updated during the simulation. Furthermore it is important that the number of hedging strategies is the same as the number of hedging instruments, this will be explained later below. Next we simulate the price of the underlying stock: Now that we have the evolution of the stock price of the underlying we ca","default_branch":null,"files":null,"tree":[],"storefront":"/r/kgeoffrey","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/kgeoffrey/AutoHedge.jl/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}