[Returnanalytics-commits] r2730 - pkg/Meucci/demo

[noreply at r-forge.r-project.org]

Author: xavierv
Date: 2013-08-06 12:44:11 +0200 (Tue, 06 Aug 2013)
New Revision: 2730

Modified:
   pkg/Meucci/demo/S_HedgeOptions.R
Log:
- fixed documentation for S_HedgeOptions demo script

Modified: pkg/Meucci/demo/S_HedgeOptions.R
===================================================================
--- pkg/Meucci/demo/S_HedgeOptions.R	2013-08-06 10:41:54 UTC (rev 2729)
+++ pkg/Meucci/demo/S_HedgeOptions.R	2013-08-06 10:44:11 UTC (rev 2730)
@@ -1,5 +1,14 @@
+#' This script compares hedging based on Black-Scholes deltas with Factors on Demand hedging, as described in 
+#' A. Meucci "Risk and Asset Allocation", Springer, 2005, Chapter 3.
+#'
+#' @references
+#' \url{http://symmys.com/node/170}
+#' See Meucci's script for "S_HedgeOptions.m"
+#'
+#' @author Xavier Valls \email{flamejat@@gmail.com}
+
 ##################################################################################################################
-### This script compares hedging based on Black-Scholes deltas with Factors on Demand hedging 
+### 
 ### == Chapter 3 ==
 ##################################################################################################################