calcPortfWgt: Calculates the portfolio weights for positions within a given...

In braverock/blotter: Tools for Transaction-Oriented Trading Systems P&L

Calculates the portfolio weights for positions within a given portfolio.

Description

Portfolio weights may be calculated differently depending on their use. By default, this function uses denominator of 'Gross.Value', the second most common option will likely be 'Net.Value'. For separating long and short weights, 'Long.Value' and 'Short.Value' may be needed as denominators.

Usage

calcPortfWgt(Portfolio, Symbols = NULL, Dates = NULL,
  denominator = c("Gross.Value", "Net.Value", "Long.Value", "Short.Value"),
  Account)

Arguments

Portfolio	a portfolio object structured with initPortf()
Symbols	an instrument identifier for a symbol included in the portfolio
Dates	dates to return the calculation over formatted as xts range
denominator	string describing the deniminator, see Description
Account	an Account object containing Portfolio summaries

Value

xts timeseries object with weights by date in rows and symbolname in columns

braverock/blotter documentation built on Feb. 13, 2023, 1 p.m.