roll_futures: Combine multiple futures market data into continuous contract
In QuantTools: Enhanced Quantitative Trading Modelling
Description
Combine multiple futures market data into continuous contract
Usage
1
roll_futures(prices_by_contract, days_before_expiry)
Arguments
prices_by_contract
list of data.tables with futures market data
days_before_expiry
number of dates before expiration to roll
QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.
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Description
Combine multiple futures market data into continuous contract
Usage
1 | roll_futures(prices_by_contract, days_before_expiry)
|
Arguments
prices_by_contract |
list of data.tables with futures market data |
days_before_expiry |
number of dates before expiration to roll |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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