obpi: Option Based Portfolio Insurance (OBPI)

In sleire/etrm: Energy Trading and Risk Management in R

Description

Implements OBPI strategy for commodity price risk management

Usage

obpi(
  q,
  tdate,
  f,
  k = f[1],
  vol,
  r = 0,
  tdays = 250,
  daysleft,
  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
k	numeric value for option strike price
vol	value for volatility
r	value for interest rate
tdays	integer assumed number of trading days per year
daysleft	integer with days left to option expiry
tcost	numeric transaction costs pr unit
int	TRUE/ FALSE integer restriction on tradable volume

Value

instance of the OBPI class

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