losses: Calculate gains/losses

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Calculate gains/losses

Description

The losses function calculate gains/losses between portfolio and option price.

Usage

losses(option_value, portfolio)

Arguments

option_value	numeric vector, price of the option over time.
portfolio	numeric vector, value of the portfolio over time.

Value

A numeric vector, gains/losses during hedging.

Examples

x <- generate_scenarios(100, 0.05, 0.3) #real measure
time_period <- seq(0, 1, 1/250)
option <- call_price(x[, 1], 100, 0, 0.3, time_period, 1)
Xi <- Xi_call_price(x[, 1], 100, 0, 0.3, time_period, 1)
portfolio <- portfolio_valuation(option[1], 0, Xi, x[, 1])
losses(option, portfolio)

mociepa/ShortfallRiskHedging documentation built on Sept. 30, 2022, 6:43 p.m.