CalcRiskRedux: Calculates Amount of Risk Reduced Based on an Outright...

In helenristov/aCompiler: What the package does (short line)

Description

Calculates Portfolio Risk Reduction for Pre-Selected Contract Types

Usage

CalcRiskRedux(cov, pos, types, delta, ref.qty = 1, ref.contract = NULL)

Arguments

cov	Outright covariance matrix to be used in the variance calculations
pos	A vector of outright positions for which we wish to know the equivalent positions.
types	Types of combinations to be calculated from the outright covariance matrix.
ref.qty	Reference quantity used to determine what a full traded level would do to risk.
ref.contract	The contract that should be used as the basis for reference volatility.

Author(s)

Nicholas Dregne and Helena Ristov

helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.