Description Usage Arguments Author(s)
Calculates Portfolio Risk Reduction for Pre-Selected Contract Types
1 | CalcRiskRedux(cov, pos, types, delta, ref.qty = 1, ref.contract = NULL)
|
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. |
Nicholas Dregne and Helena Ristov
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