One thing that comes to mind immediately is the 'blotter' package which I believe is designed to handle and track multiple instruments.
A sloppy temporary solution I guess would be to do some type of lookup or a flag that denotes which instrument is an option and apply the VaR methodology appropriately. I am not in front of my desktop for now, else I would dig around the blotter code to evaluate a proposal to handle the scenario you mention. Perhaps some people who have done more work with these types of issues can shed more light on this. Hth -c On 3/31/10, zhang <yn19...@msn.com> wrote: > > Thank you very much. It is very helpful. As far as I understand, not easy to > have a function to combine both the equity part and the option part? > -- > View this message in context: > http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1746520.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- Sent from my mobile device ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.