[R] Value-at-Risk Portfolio(both equity and option)

[Cedrick Johnson]

One thing that comes to mind immediately is the 'blotter' package
which I believe is designed to handle and track multiple instruments.

A sloppy temporary solution I guess would be to do some type of lookup
or a flag that denotes which instrument is an option and apply the VaR
methodology appropriately. I am not in front of my desktop for now,
else I would dig around the blotter code to evaluate a proposal to
handle the scenario you mention.

Perhaps some people who have done more work with these types of issues
can shed more light on this.

Hth
-c

On 3/31/10, zhang <yn19832 at msn.com> wrote:
>
> Thank you very much. It is very helpful. As far as I understand, not easy to
> have a function to combine both the equity part and the option part?
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