In Amuraivel/tradeMaster: A Framework for Multi-Asset Multi-Strategy Option Portfolios

Index volatility arbitrage is a strategy whereby an investor buys options on the index (e.g. S&P 500, Nikkei) and sells options in the constituent stocks, or sells index options and buys options on the constituent stocks.

The key issues with this strategy are: - Transaction costs - Descreteness both in the index options and constituents - Continuous delta hedging

$$ \frac{\nabla P}{\dC} $$

The html_vignette format:

• Never uses retina figures
• Has a smaller default figure size
• Uses a custom CSS stylesheet instead of the default Twitter Bootstrap style

Vignette Info

Note the various macros within the vignette section of the metadata block above. These are required in order to instruct R how to build the vignette. Note that you should change the title field and the \VignetteIndexEntry to match the title of your vignette.

Styles

The html_vignette template includes a basic CSS theme. To override this theme you can specify your own CSS in the document metadata as follows:

output: 
  rmarkdown::html_vignette:
    css: mystyles.css

Figures

The figure sizes have been customised so that you can easily put two images side-by-side.

plot(1:10)
plot(10:1)

You can enable figure captions by fig_caption: yes in YAML:

output:
  rmarkdown::html_vignette:
    fig_caption: yes

Then you can use the chunk option fig.cap = "Your figure caption." in knitr.

More Examples

You can write math expressions, e.g. $Y = X\beta + \epsilon$, footnotes^[A footnote here.], and tables, e.g. using knitr::kable().

knitr::kable(head(mtcars, 10))

Also a quote using >:

"He who gives up [code] safety for [code] speed deserves neither." (via)

Amuraivel/tradeMaster documentation built on May 5, 2019, 4:56 a.m.