realizedLoss: Calcuate Realized Loss

In zhangkd5/riskCalc: Risk Calculation System -- MATH G4082 Project

Description

This generic function is an internal function used by backtest to calculate realized loss given various types of dataset.

Usage

realizedLoss(data, TimeLen, ...)

## S3 method for class 'portfolioData'
realizedLoss(data, TimeLen, ...)

## S3 method for class 'optionsData'
realizedLoss(data, TimeLen, V0 = NULL, ...)

## S3 method for class 'stocksData'
realizedLoss(data, TimeLen, V0 = NULL, ...)

Arguments

data	an object of structured dataset.
TimeLen	the time horizon the losses are defined over, in days.
...	arguments to be passed to or from methods.
V0	the total value the losses are defined upon.

Value

A matrix of realized losses.

See Also

backtest

zhangkd5/riskCalc documentation built on May 4, 2019, 10:16 p.m.