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FinancialInstrument (version 1.3.1)

Financial Instrument Model Infrastructure and Meta-Data

Description

Infrastructure for defining meta-data and relationships for financial instruments.

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Version

Install

install.packages('FinancialInstrument')

Monthly Downloads

448

Version

1.3.1

License

GPL

Issues

2

Pull Requests

1

Stars

18

Forks

17

Maintainer

Ross Bennett

Last Published

January 10th, 2018

Functions in FinancialInstrument (1.3.1)

Notionalize

Convert price series to/from notional value
to_secBATV

Convert tick data to one-second data
FinancialInstrument-package

Construct, manage and store contract specifications for trading
FindCommonInstrumentAttributes

Find attributes that more than one instrument have in common
all.equal.instrument

instrument all.equal method
buildHierarchy

Construct a hierarchy of instruments useful for aggregation
add.defined.by

Add a source to the defined.by field of an instrument
add.identifier

Add an identifier to an instrument
C2M

Month-to-Code and Code-to-Month
buildRatio

construct price ratios of 2 instruments
buildSpread

Construct a price/level series for pre-defined multi-leg spread instrument
expires.instrument

instrument expires extraction method
expires.spread

spread expires extraction method
currencies

currency metadata to be used by load.instruments
exchange_rate

constructor for spot exchange rate instruments
fn_SpreadBuilder

Calculate prices of a spread from 2 instruments.
formatSpreadPrice

format the price of a synthetic instrument
load.instruments

load instrument metadata into the .instrument environment
CompareInstrumentFiles

Compare Instrument Files
expires

extract the correct expires value from an instrument
expires.character

character expires extraction method
expires.xts

xts expires extraction method
instrument.table

Create data.frame with attributes of all instruments
instrument_attr

Add or change an attribute of an instrument
next.future_id

Get the primary_id of the next-to-expire (previously expiring) future_series instrument
find.instrument

Find the primary_ids of instruments that contain certain strings
is.instrument

class test for object supposedly of type 'instrument'
is.instrument.name

check each element of a character vector to see if it is either the primary_id or an identifier of an instrument
option_series.yahoo

constructor for series of options using yahoo data
root_contracts

future metadata to be used by load.instruments
saveInstruments

Save and Load all instrument definitions
update_instruments.instrument

Update instruments with metadata from another instrument.
parse_id

Parse a primary_id
parse_suffix

parse a suffix_id
print.suffix.list

suffix.list class print method
getSymbols.FI

getSymbols method for loading data from split files
.get_rate

get an exchange rate series
ls_by_expiry

list or remove instruments by expiration date
ls_expiries

show unique expiration dates of instruments
update_instruments.masterDATA

Update instrument metadata for ETFs
build_series_symbols

construct a series of symbols based on root symbol and suffix letters
build_spread_symbols

build symbols for exchange guaranteed (calendar) spreads
format_id

format an id
getInstrument

Primary accessor function for getting objects of class 'instrument'
ls_strikes

show strike prices of defined options
ls_underlyings

show names of underlyings
print.id.list

id.list class print method
print.instrument

instrument class print method
update_instruments.morningstar

Update instrument metadata for ETFs
update_instruments.yahoo

updates instrument metadata with data from yahoo
ls_by_currency

shows or removes instruments of given currency denomination(s)
ls_instruments

List or Remove instrument objects
ls_instruments_by

Subset names of instruments
saveSymbols.days

Save data to disk
future_series

Constructors for series contracts
volep

generate endpoints for volume bars
redenominate

Redenominate (change the base of) an instrument
.to_daily

Extract a single row from each day in an xts object
update_instruments.iShares

update iShares and SPDR ETF metadata
instrument

instrument class constructors
instrument.auto

Create an instrument based on name alone
is.currency

class test for object supposedly of type 'currency'
is.currency.name

check each element of a character vector to see if it is either the primary_id or an identifier of a currency
make_spread_id

Construct a primary_id for a spread instrument from the primary_ids of its members
month_cycle2numeric

coerce month_cycle to a numeric vector
setSymbolLookup.FI

set quantmod-style SymbolLookup for instruments
sort.instrument

instrument class sort method
sort_ids

sort primary_ids of instruments
synthetic

synthetic instrument constructors