GenericStrat-class {etrm}

An S4 VIRTUAL parent class for the hedging strategy classes in etrm

Description

An S4 VIRTUAL parent class for the hedging strategy classes in etrm

Slots

Name

A string with the portfolio insurance strategy name

Volume

The quantity to be hedged

TargetPrice

The target price(s) for the portfolio (cap or floor)

TransCost

Transaction costs pr unit traded

TradeisInt

TUE/FALSE integer restriction on tradable volume, TRUE sets smallest transacted unit to 1

Results

Data frame with strategy results, daily values for market price, transactions, exposure, position, hedge and portfolio price