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DISCRETEHEDGING(1)	    General Commands Manual	    DISCRETEHEDGING(1)

NAME
       DiscreteHedging - Example of using QuantLib

SYNOPSIS
       DiscreteHedging

DESCRIPTION
       DiscreteHedging is an example of	using the QuantLib Monte Carlo simula-
       tion framework.

       By simulation, DiscreteHedging computes profit and loss of  a  discrete
       interval	 hedging  strategy  and	compares with the outcome with the re-
       sults of	Derman and Kamal's Goldman Sachs Equity	 Derivatives  Research
       Note  "When You Cannot Hedge Continuously: The Corrections to Black-Sc-
       holes".

SEE ALSO
       The source  code	 DiscreteHedging.cpp,  BermudanSwaption(1),  Bonds(1),
       CallableBonds(1), CDS(1), ConvertibleBonds(1), EquityOption(1), Fitted-
       BondCurve(1),  FRA(1),	MarketModels(1),   MulticurveBootstrapping(1),
       Replication(1),	Repo(1),  the  QuantLib	 documentation	and website at
       http://quantlib.org, http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf

AUTHORS
       The QuantLib Group (see Contributors.txt).

       This manual page	was added by Dirk Eddelbuettel	<edd@debian.org>,  the
       Debian GNU/Linux	maintainer for QuantLib.

QuantLib		       20 September 2001	    DISCRETEHEDGING(1)

NAME | SYNOPSIS | DESCRIPTION | SEE ALSO | AUTHORS

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