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. Thank you. -- View this message in context: http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1745179.html Sent from the R help mailing list archive at Nabble.com.
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 <yn19832 at msn.com> wrote:> > 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. > > Thank you. > -- > View this message in context: > http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1745179.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at 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
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 <cedrick at cedrickjohnson.com> wrote:> 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 <yn19832 at msn.com> wrote: >> >> 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. >> >> Thank you. >> -- >> View this message in context: >> http://n4.nabble.com/Value-at-Risk-Portfolio-both-equity-and-option-tp1745179p1745179.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help at 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 >-- Sent from my mobile device
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.