FinancialInstrument (version 1.3.1)

parse_suffix: parse a suffix_id

Description

extract information from the suffix_id of an instrument

Usage

parse_suffix(x, silent = TRUE)

Arguments

x

the suffix_id to be parsed

silent

silence warnings? (warning will usually be about inferring a 4 digit year from a 1 or 2 digit year)

Value

an object of class ‘suffix.list’ which is a list containing ‘type’ of instrument, ‘month’ of expiration, ‘year’ of expiration, ‘strike’ price of option, ‘right’ of option (“C” or “P”), ‘cm’ (maturity in days of a constant maturity contract), ‘cc’ (method for calculating a continuous contract), ‘format’ (string that indicates the format of the unparsed id).

Details

These would be recognized as a Sep 2011 outright futures contract: U1, U11, SEP1, SEP11, U2011, Sep2011, SEP2011

These would be recognized as a call with a strike of 122.5 that expires Sep 17, 2011: 110917C122.5, 20110917C122.5, 110917C00122500, 20110917C00122500

These would be recognized as Sep 2011 single stock futures: 1CU1, 1CU11, 1CSEP11, 1DU1 (dividend protected)

These would be recognized as Adjusted futures: cm.30 (30 day constant maturity future), cc.OI (continuous contract rolled when Open Interest rolls), cc.Vol (continuous contract roll when Volumn rolls), cc.Exp.1 (continuous contract rolled 1 day before Expiration)

Synthetics and spreads:

SPY.DIA --> type == synthetic;

U1.Z1 or U11.Z11 --> type == "calendar", "spread"; month == 'SEP', year == 2011

U1.0302 --> type == "ICS", "spread"; month == 'SEP', year == 2011

110917C125.110917P125 --> type == option_spread, spread

See Also

parse_id, format_id

Examples

# NOT RUN {
parse_suffix("U11")
parse_suffix("110917C125")
# }