dppi {etrm} | R Documentation |
Dynamic Proportion Portfolio Insurance (DPPI)
Description
Implements DPPI strategy for commodity price risk management
Usage
dppi(q, tdate, f, tper, rper, tcost = 0, int = TRUE)
Arguments
q |
numeric value for quantity to be hedged, either positive (net buyer) or negative (net seller) |
tdate |
date vector with trading days |
f |
numeric futures price vector |
tper |
numeric target price factor, markup/down to the price on the first trading day |
rper |
numeric risk factor as a percentage of the price on the first trading day |
tcost |
numeric transaction costs pr unit |
int |
TRUE/FALSE integer restriction on tradable volume |
Value
instance of the DPPI class
Examples
# DPPI for a buyer (seller), where stop loss is set 10% above (below) initial market price.
set.seed(5)
# GBM price process parameters
mu <- 0.2
sigma <- 0.1
S0 <- 100
# time
Y <- 2
N <- 500
delta <- Y/N
t <- seq (0, 1, length = N + 1)
# price process and date vector
W <- c(0, cumsum ( sqrt(delta) * rnorm (N)))
f_gbm <- S0 * exp(mu * t + sigma * W)
tr_dates <- seq(Sys.Date(), Sys.Date()+500, by = "day")
# implement dppi strategy for buyer
dppi_b <- dppi(q = 10,
tdate = tr_dates,
f = f_gbm,
tper = 0.1,
rper = 0.1,
tcost = 0,
int = TRUE)
# implement dppi strategy for seller
dppi_s <- dppi(q = - 10,
tdate = tr_dates,
f = f_gbm,
tper = - 0.1,
rper = 0.1,
tcost = 0,
int = TRUE)
[Package etrm version 1.0.1 Index]