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I know how to compute VaR with long positions using PerformanceAnalytics. What about a portfolio consisting in two equities A and B, 100 USD long positions in each, and 2 stock options for the same equities A and B, 100 USD worth protection short positions in each, delta-neutral.

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  • $\begingroup$ Do you ask for an implementation of this? As a risk model one could use historical simulation with full-valuation of the options in each scenario. So maybe you would like to reformulate your question ... which data is available to you? what you ask for is a 100 lines R program (could be one). $\endgroup$ – Richard Jan 17 '18 at 7:13

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