DPPI-class function

An S4 class for the DPPI hedging strategy

class

An S4 class for the DPPI hedging strategy

Slots

  • TargetPercent: A percentage of first trading day's market price used to set target price (cap or floor)
  • RiskFactor: The risk factor (cushion) used in the DPPI model
etrm packageRead PDF manual
  • Maintainer: Anders D. Sleire
  • License: MIT + file LICENSE
  • Last published: 2021-06-23

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