TradingStrategies
This package defines trading strategies trading in one or more assets.
Several concrete strategies are implemented most importantly option hedging
strategies (StrategyDeltaHedging
) using any one of the hedge
weights defined in the class Option
.
Each trading strategy has a method to return the discounted gains from
trading as a random variable and a more complete set of statistics as a
random vector. In this way means, variances and histograms can all be
computed easily by calling the respective methods in the class
RandomVariable
(RandomVector
).