PMwR (version 0.11-0)

quote32: Treasury Quotes with 1/32nds of Point

Description

Print treasury quotes with 1/32nds of points.

Usage

quote32(price, sep = "(-|'|:)", warn = TRUE)
q32(price, sep = "(-|'|:)", warn = TRUE)

Arguments

price

numeric or character. See Details.

sep

character: a regular expression

warn

logical. Warn about rounding errors?

Value

A numeric vector of class quote32.

Details

The function is meant for pretty-printing of US treasury bond quotes; it provides no other functionality.

If price is numeric, it is interpreted as a quote in decimal notation and ‘translated’ into a price quoted in fractions of a point.

If price is character, it is interpreted as a quote in fractional notation.

q32 is a short-hand for quote32.

References

CME Group (2015). Treasury Futures Price Rounding Conventions. http://www.cmegroup.com/education/treasury-futures-price-rounding-conventions.html

Examples

# NOT RUN {
quote32(100 + 17/32 + 0.75/32)
q32("100-172")

q32("100-272") - q32("100-270")
as.numeric(q32("100-272") - q32("100-270"))
# }