swapFutWeight: Commodity Calendar Month Average Swap futures weights

In RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

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"
)

Arguments

Month	First calendar day of the month. character
contract	Contract code in data(expiry_table). sort(unique(expiry_table$cmdty)) for options. character
exchange	Exchange code in data(holidaysOil). Currently only "nymex" and "ice" supported. character
output	Either "numDaysFut1", "numDaysFut2" or "first.fut.weight". character

Value

Depending on output setting. numeric If first.fut.weight, to compute swap 1 - first.fut.weight = % applied to 2nd line contract.

Author(s)

Philippe Cote

Examples

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

RTL documentation built on May 29, 2024, 2:26 a.m.