Interest rate on short sell cash proceeds
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enzbus commented
The current implementation of cvx.CashReturn
and cvx.StocksHoldingCost
assume that the investor pays the cash return (i.e., risk-free interest rate) on the value of short stock position. The relevant parameters are short_margin_requirement
and cash_return_on_borrow
respectively. This is not well-documented and may be wrong in some cases (see for example the relevant interactive brokers page). In particular, for large investors, the cash return is payed to the investor on short positions. Fix required.