GenericStrat-class function

class

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