RTL (version 1.3.0)

swapFutWeight: Commodity Calendar Month Average Swap futures weights

Description

Returns the percentage weight of the future in Calendar Month Average swaps

Usage

swapFutWeight(
  Month = "2020-09-01",
  contract = "cmewti",
  exchange = "nymex",
  output = "first.fut.weight"
)

Value

What you defined in outputs. If first.fut.weight, to compute swap 1 - first.fut.weight = % applied to 2nd line contract.

Arguments

Month

First calendar day of the month.

contract

Contract code in data(expiry_table). sort(unique(expiry_table$cmdty)) for options.

exchange

Exchange code in data(holidaysOil). Currently only "nymex" and "ice" supported.

output

Either "numDaysFut1", "numDaysFut2" or "first.fut.weight"

Author

Philippe Cote

Examples

swapFutWeight(
  Month = "2020-09-01",
  contract = "cmewti", exchange = "nymex", output = "first.fut.weight"
)