instantData-class {portfolioSim} | R Documentation |
Contains coross-sectional simulation data that pertains to a single instant in time, such as held positions and exposures.
Objects can be created by calls of the form new("instantData", ...)
.
instant
:"orderable"
specifying
the instant to which the object pertains.equity.long
:"numeric"
containing the total market value of held long positions at this
instant. equity.short
:"numeric"
containing the total market value of held short positions at this
instant. size.long
:"numeric"
containing the total number of held long positions at this
instant. size.short
:"numeric"
containing the total number of held short positions at this
instant. holdings
:"portfolio"
reflecting the portfolio held at this instant in the simluation. exposure
:"exposure"
containing
exposures of the holdings
portfolio to a set of factors at
this instant.signature(object = "instantData", type =
"character", fmt = "missing", out.loc = "character", name =
"character", verbose = "logical")
: save this object. Currently
only one format, binary .RData, is available, and so the
fmt
parameter is missing here.Jeff Enos jeff@kanecap.com