formatSpreadPrice: format the price of a synthetic instrument

Description Usage Arguments Value Author(s) See Also

Description

Divides the notional spread price by the spread multiplier and rounds prices to the nearest tick_size.

Usage

1
formatSpreadPrice(x, multiplier = 1, tick_size = 0.01)

Arguments

x

xts price series

multiplier

numeric multiplier (e.g. 1000 for crack spread to get from $ to $/bbl)

tick_size

minimum price change of the spread

Value

price series of same length as x

Author(s)

Garrett See

See Also

buildSpread, fn_SpreadBuilder


FinancialInstrument documentation built on May 2, 2019, 3:41 a.m.