Delete entries for which the spread is more than "maxi" times the median spread

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Description

Function deletes entries for which the spread is more than "maxi" times the median spread on that day.

Usage

1
rmLargeSpread(qdata,maxi)

Arguments

qdata

an xts object at least containing the columns "BID" and "OFR".

maxi

an integer. By default maxi="50", which means that entries are deleted if the spread is more than 50 times the median spread on that day.

Value

xts object

Details

NOTE: This function works only correct if supplied input data consists of 1 day!

Author(s)

Jonathan Cornelissen and Kris Boudt

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