instantData-class: Class "instantData"

In portfolioSim: Framework for simulating equity portfolio strategies

Description

Contains coross-sectional simulation data that pertains to a single instant in time, such as held positions and exposures.

Objects from the Class

Objects can be created by calls of the form new("instantData", ...).

Slots

instant:

Object of class "orderable" specifying the instant to which the object pertains.

equity.long:

Object of class "numeric" containing the total market value of held long positions at this instant.

equity.short:

Object of class "numeric" containing the total market value of held short positions at this instant.

size.long:

Object of class "numeric" containing the total number of held long positions at this instant.

size.short:

Object of class "numeric" containing the total number of held short positions at this instant.

holdings:

Object of class "portfolio" reflecting the portfolio held at this instant in the simluation.

exposure:

Object of class "exposure" containing exposures of the holdings portfolio to a set of factors at this instant.

Methods

saveOut

signature(object = "instantData", type = "character", fmt = "missing", out.loc = "character", name = "character", verbose = "logical"): save this object. Currently only one format, binary .RData, is available, and so the fmt parameter is missing here.

Author(s)

Jeff Enos [e-mail]

See Also

periodData-class

portfolioSim documentation built on May 1, 2019, 9:23 p.m.