OBPI-class {etrm}R Documentation

An S4 class for the OBPI hedging strategy

Description

An S4 class for the OBPI hedging strategy

Slots

StrikePrice

Strike price for the synthetic option hedging

AnnVol

Annualized volatility for the contract to be traded

InterestRate

Risk-free rate of interest

TradingDays

The number of trading days per year

[Package etrm version 1.0.1 Index]