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.
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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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View this message in context:
http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1746520.html
Sent from the R help
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
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.
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 yn19...@msn.com wrote:
Hello All,
I am working on the risk measures for a portfolio, which contain both equity
futures, equity options and
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 cedr...@cedrickjohnson.com wrote:
Check out this discussion on r-sig-finance regarding VaR for options.
Quite informative and should be a good
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