Description Usage Arguments Details Examples
A collection of methods related to currency pairs.
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is_t1(x) to_spot(dates, x) to_spot_next(dates, x) to_forward(dates, tenor, x) to_today(dates, x) to_tomorrow(dates, x) to_fx_value(dates, tenor, x) invert(x)
a vector of dates from which forward dates are calculated
the tenor of the value date which can be one of the following:
"spot", "spot_next", "today", "tomorrow" and the usual "forward" dates (e.g.
The methods are summarised as follows:
TRUE if the currency pair settles one good day after
trade. This includes the following currencies crossed with the USD: CAD, TRY,
PHP, RUB, KZT and PKR
to_spot: The spot dates are usually two non-NY good day after today.
is_t1() identifies the pairs whose spot dates are conventionally one good
non-NYC day after today. In both cases, if those dates are not a good NYC
day, they are rolled to good NYC and non-NYC days using the Following
to_spot_next: The spot next dates are one good NYC and non-NYC day after
spot rolled using the Following convention if necessary.
to_forward: Forward dates are determined using the calendar's
method rolling bad NYC and non-NYC days using the Following convention. The
end-to-end convention applies.
to_today: Today is simply dates which are good NYC and non-NYC days.
Otherwise today is undefined and returns
to_tomorrow: Tomorrow is one good NYC and non-NYC day except where that
is on or after spot. In that case, is is undefined and returns
to_value: Determine common value dates. The supported value date
are: "spot", "spot_next", "today", "tomorrow" and the usual
"forward" dates (e.g.
invert: Inverts the currency pair and returns new
x inherits from the
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library(lubridate) is_t1(AUDUSD()) dts <- lubridate::ymd(20170101) + lubridate::days(0:30) to_spot(dts, AUDUSD()) to_spot_next(dts, AUDUSD()) to_today(dts, AUDUSD()) to_tomorrow(dts, AUDUSD()) to_fx_value(dts, months(3), AUDUSD())
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