roll_futures: Combine multiple futures market data into continuous contract

Description Usage Arguments

View source: R/roll_futures.R

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.