agg_avg_net_position: Aggregate Average Net Position

In BoC-PaymentsResearch/CPMI_stats: CPMI Proposed Liqudity Efficiency Measures

Description

Aggregate Average Net Position

Usage

agg_avg_net_position(payments, debit, central_bank = NULL,
  t_start = NULL, t_end = NULL)

Arguments

payments	dataframe value, payments data
debit	logical value, if this value is TRUE then the net debit position is calculated. If FALSE then the net credit position is calculated.
central_bank	character value, If the central bank is to be removed from calculation then this parameter should be the identifier of the central bank. Defaults to NULL meaning no participant is removed from the calculation
t_start	time value, First time in the day when payments are sent. Should have the format: HH:MM:SS. Defaults to NULL, taking the time of the first payment in the data as it's value.
t_end	time value, Last time in the day when payments are sent.Should have the format: HH:MM:SS. Defaults to NULL, taking the time of the last payment in the data as it's value.

Details

Assumes that the payments data file has the form: ID, date, time, value, from, to

Calculates the daily aggregate (across participants), average net debit/credit position. The average net debit/credit positions of each participant is calculated with the avg_net_position function.

Value

dataframe structure, The aggregate net debit/credit position of the system

BoC-PaymentsResearch/CPMI_stats documentation built on May 13, 2019, 1:14 p.m.