Thank you very much. Since I have never heard of "blotter" before, now I am
really excited. It seems exactly what I have been searching. Would be really
grateful if you could share some codes/examples regarding to this. I did not
happen to find the help file for the package.
Thanks again.
--
V
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 appropri
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?
--
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http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1746520.html
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It would help if I included the link:
http://n4.nabble.com/VaR-for-path-dependent-option-portfolio-td1676787.html
-c
On 3/30/10, Cedrick Johnson wrote:
> Check out this discussion on r-sig-finance regarding VaR for options.
> Quite informative and should be a good starting point.
>
> -c
>
> On
Check out this discussion on r-sig-finance regarding VaR for options.
Quite informative and should be a good starting point.
-c
On 3/30/10, zhang wrote:
>
> Hello All,
>
> I am working on the risk measures for a portfolio, which contain both equity
> futures, equity options and currency options.
Hello All,
I am working on the risk measures for a portfolio, which contain both equity
futures, equity options and currency options. There are many packages
related with the portoflio which only contain the equities,I wonder whether
there is any avaible package that could include the option.
Th
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