exchange_rate: Constructor for spot exchange rate instruments
In FinancialInstrument: Financial Instrument Modeling Infrastructure

exchange_rate

R Documentation

Constructor for spot exchange rate instruments

Description

Currency symbols (like any symbol) may be any combination of alphanumeric characters, but the FX market has a convention that says that the first currency in a currency pair is the 'target' and the second currency in the symbol pair is the currency the rate ticks in. So 'EURUSD' can be read as 'USD per 1 EUR'.

Usage

exchange_rate(
  primary_id = NULL,
  currency = NULL,
  counter_currency = NULL,
  tick_size = 0.01,
  identifiers = NULL,
  assign_i = TRUE,
  overwrite = TRUE,
  ...
)

Arguments

`primary_id`	string identifier, usually expressed as a currency pair 'USDYEN' or 'EURGBP'
`currency`	string identifying the currency the exchange rate ticks in
`counter_currency`	string identifying the currency which the rate uses as the base 'per 1' multiplier
`tick_size`	minimum price change
`identifiers`	named list of any other identifiers that should also be stored for this instrument
`assign_i`	TRUE/FALSE. Should the instrument be assigned in the `.instrument` environment? (Default TRUE)
`overwrite`	`TRUE` by default. If `FALSE`, an error will be thrown if there is already an instrument defined with the same `primary_id`.
`...`	any other passthru parameters

Details

In FinancialInstrument the currency of the instrument should be the currency that the spot rate ticks in, so it will typically be the second currency listed in the symbol.

Thanks to Garrett See for helping sort out the inconsistencies in different naming and calculating conventions.

Value

When 'assign_i = TRUE', a character vector containing the 'primary_id' values of the exchange-rate instruments assigned to the registry. When 'assign_i = FALSE', an exchange-rate instrument object is returned for scalar input, or a list of such objects for vectorized input.