Portfolio: Constructor of portfolio object
In solavrov/fxor: Simulate rabalancing of currency structure with fx options
Description
Attributes:
$eur - amount of euro in eur
$usd - amount of usd
$options$amounts - amounts of options in eur, positive for put, negative for call
$options$strikes - options strikes
$wTarget - target weight of euro
$xRate - current eurusd rate
$iRateUsd - usd interest rate
$iRateEur - eur interest rate
$volaty - volatility of eurusd rate
$daysToEnd - days to the end of period, expiration of options
$daysInYear - number of business days in year
$spreadLoss - current accumulated spread loss form FX spot rebalancing trades
Usage
1
Value
Portfolio object
solavrov/fxor documentation built on May 30, 2019, 3:12 p.m.
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Description
Attributes: $eur - amount of euro in eur $usd - amount of usd $options$amounts - amounts of options in eur, positive for put, negative for call $options$strikes - options strikes $wTarget - target weight of euro $xRate - current eurusd rate $iRateUsd - usd interest rate $iRateEur - eur interest rate $volaty - volatility of eurusd rate $daysToEnd - days to the end of period, expiration of options $daysInYear - number of business days in year $spreadLoss - current accumulated spread loss form FX spot rebalancing trades
Usage
1 |
Value
Portfolio object
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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