R/losses.R

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

#' @title Calculate gains/losses
#'
#' @description
#' The losses function calculate gains/losses between portfolio and option price.
#'
#' @usage losses(option_value, portfolio)
#'
#' @param option_value numeric vector, price of the option over time.
#' @param portfolio numeric vector, value of the portfolio over time.
#' @return 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)
#' @export

losses <- function(option_value, portfolio){
  return(portfolio - option_value)
}