Description Usage Arguments Value
View source: R/obpi_strategy.R
Implements OBPI strategy for commodity price risk management
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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 |
instance of the OBPI class
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