I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the correct ones to use for this purpose? (I have seen the R Finance task view but there is a lot there)
Answer
Assuming you already have a way to obtain hedge ratios and the like, your best available choice is probably blotter (used to be just quantstrat). You will find that it isn't necessarily oriented toward options.
Generally for options backtesting, pros end up making their own or buying commercial software. There are tons of commercial providers, but I don't know anyone who has investigated the top candidates.
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