HorizonPricing: Compute the pricing in the horizon as it appears in A....
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Compute the pricing in the horizon as it appears in A.
Meucci, "Fully Flexible Views: Theory and Practice", The
Risk Magazine, October 2008, p 100-106.
Usage
1
HorizonPricing(Butterflies, X)
Arguments
Butterflies
List of securities with some analytics
computed.
X
Panel of joint factors realizations
Value
PnL Matrix of profit and loss scenarios
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com and
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "ButterflyTrading/HorizonPricing.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Author(s) References
Description
Compute the pricing in the horizon as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106.
Usage
1 | HorizonPricing(Butterflies, X)
|
Arguments
Butterflies |
List of securities with some analytics computed. |
X |
Panel of joint factors realizations |
Value
PnL Matrix of profit and loss scenarios
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com and Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "ButterflyTrading/HorizonPricing.m"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.