## ----setup, include=FALSE-----------------------------------------------------
knitr::opts_chunk$set(collapse = TRUE, comment = "#>")

## -----------------------------------------------------------------------------
library(finlabR)

## -----------------------------------------------------------------------------
prices <- get_example_prices()
rets <- calc_returns(prices[, -1])

## -----------------------------------------------------------------------------
min_var <- mvo_min_variance(rets)
ef <- mvo_efficient_frontier(rets, n = 30, rf = 0.02)
max_sharpe <- mvo_max_sharpe(rets, rf = 0.02)

## -----------------------------------------------------------------------------
plot_efficient_frontier(ef)

## -----------------------------------------------------------------------------
cvar <- cvar_minimize(rets, alpha = 0.95)
cvar$cvar

## -----------------------------------------------------------------------------
rp <- risk_parity_weights(stats::cov(rets))
rp$weights

## -----------------------------------------------------------------------------
regimes <- market_regime_kmeans(rets, k = 3, window = 60)
table(regimes$labels)

## -----------------------------------------------------------------------------
clusters <- asset_clustering(rets, method = "kmeans", reduce = "pca", k = 3)
clusters$clusters

## -----------------------------------------------------------------------------
var_cvar(rets, alpha = 0.95)

## -----------------------------------------------------------------------------
paths <- simulate_gbm_paths(100, 0.08, 0.2, time_horizon = 1, n_steps = 252, n_sims = 1000)
dim(paths)

## -----------------------------------------------------------------------------
price_option_mc(100, 100, 0.02, 0.2, time_to_maturity = 1, n_sims = 20000)
price_option_binomial(100, 100, 0.02, 0.2, time_to_maturity = 1, n_steps = 200, american = TRUE)