obpi: Option Based Portfolio Insurance (OBPI)

Description Usage Arguments Value

View source: R/obpi_strategy.R

Description

Implements OBPI strategy for commodity price risk management

Usage

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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.