portfolio_fx_hedge: Porfolio fx hedge

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Porfolio fx hedge

Description

Estimates the static hedging ratio per group. See Schmittmann (2010).

Usage

portfolio_fx_hedge(w, ref_curr, asset_data, series_list, series_fxfwd_list,
  dates, hold_per = "1M", exp_ret = 0, group.by = "Asset",
  bounded = TRUE, invest_assets = NULL)

Arguments

w	Portfolio weights.
ref_curr	Reference currency.
asset_data	Datafrane with info regarding each asset.
series_list	xts series (indexes and currencies).
series_fxfwd_list	xts fx forward series. Outrights and forward premiums.
dates	Initial and final dates.
hold_per	Holding period return. 1M or 3M.
exp_ret	Expected return over initial capital (1) over investment horizon.Given the difficulties to estimate the this value, it is assumed to be cero.
group.by	Set of assets that share the same hedging ratio. By default the grouping is per currency. c("All", "Asset_Class", "Asset", "Currency", "Country")
bounded	Hedge ratio bounded to the range 0-1.
invest_assets	Investable asset. By default: Index. It can be set to ETF or IA (investable asset).

Value

Fx hedge returns.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.