diff_trades: Compute trades between a start and a target pfo

In philaris/pfo: Portfolio, Trades, Pricing

Description

Compute trades between a start and a target pfo.

Usage

diff_trades(from, to, dt, val_pri.e)

Arguments

from	initial portfolio.
to	target portfolio.
dt	date.
val_pri.e	price values environment.

Value

A list of trades.

Examples

p1 <- pfo_init('USD', 100000)
p2 <- pfo_trade(p1, 'MSCI', 10.5, 1756)
p3 <- pfo_trade(p2, 'VIX', 20, 14)
from <- pfo_grepl(p1, 'MSCI|VIX')
to <- pfo_grepl(p3, 'MSCI|VIX')
dt <- as.Date('2019-05-22')
xts_msci <- xts::xts(1756, order.by = dt)
xts_vix <- xts::xts(14, order.by = dt)
val_pri.l <- list('MSCI' = xts_msci, 'VIX' = xts_vix)
val_pri.e <- list2env(val_pri.l)
diff_trades(from, to, dt, val_pri.e)

philaris/pfo documentation built on March 29, 2020, 7:58 p.m.