cppi: Constant Proportion Portfolio Insurance (CPPI)

Description Usage Arguments Value

View source: R/cppi_strategy.R

Description

Implements CPPI strategy for commodity price risk management

Usage

1
cppi(q, tdate, f, tper, rper = 0.2, tcost = 0, int = TRUE)

Arguments

q

numeric value for quantity to be hedged, either positive (net buyer) or negative (net seller)

tdate

date vector with trading days

f

numeric futures price vector

tper

numeric target price markup/down to the price on the first trading day

rper

numeric risk factor as a percentage of the price on the first trading day

tcost

numeric transaction costs pr unit

int

TRUE/FALSE integer restriction on tradable volume

Value

instance of the CPPI class


sleire/etrm documentation built on Dec. 17, 2020, 8:05 a.m.