weight_by_vol: Volatility Weighting function
In dandermotj/mmr: Measuring Market Risk
Description
Usage
Arguments
Value
Description
Weight P/L data according to past volatility. This function uses
EWMA_vol to compute volatility. Proposed by Hull and White (1998).
Usage
1
weight_by_vol(x, decay)
Arguments
x
P/L data
decay
decay factor (0 < x < 1)
Value
P/L data weighted by volatility (numeric)
dandermotj/mmr documentation built on June 4, 2019, 9:26 p.m.
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Description Usage Arguments Value
Description
Weight P/L data according to past volatility. This function uses
EWMA_vol to compute volatility. Proposed by Hull and White (1998).
Usage
1 | weight_by_vol(x, decay)
|
Arguments
x |
P/L data |
decay |
decay factor (0 < x < 1) |
Value
P/L data weighted by volatility (numeric)
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.
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