TS_factor-methods: Term structure factor
In bautheac/factorem: factor'em!

Description Usage Arguments Value References

Provided with futures contract front price data from Bloomberg retrieved with pullit, construct term structure factor. The futures term structure factor \insertCiteszymanowska_anatomy_2014,fuertes_commodity_2015factorem is concerned with the shape (steepness) of the futures term structure and sorts on roll yield.

TS_factor(
  data,
  update_frequency = "month",
  return_frequency = "day",
  front = 1L,
  back = 2L,
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

## S4 method for signature 'FuturesTS'
TS_factor(
  data,
  update_frequency = "month",
  return_frequency = "day",
  front = 1L,
  back = 2L,
  ranking_period = 1L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

`data`	an S4 object of class `FuturesTS`. `FuturesTS` objects are returned by the `BBG_futures_TS` function from the pullit package.
`update_frequency`	a scalar `character` vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month' or 'week'. Defaults to 'month'.
`return_frequency`	a scalar `character` vector. Specifies the frequency of the returns output. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'day'.
`front`	a scalar `integer` vector. Specifies the term structure position to use as front contract in roll yield (sort variable) calculation. Defaults to 1.
`back`	a scalar `integer` vector. Specifies the term structure position to use as back contract in roll yield (sort variable) calculation. Defaults to 2.
`ranking_period`	a scalar `integer` vector. Specifies number of periods in term of `update_frequency` looking backward for average roll yield calculation. Defaults to 1 where sort is done on last observation only.
`long_threshold`	a scalar `numeric` vector. Specifies the threshold for short positions. Default: 0.5.
`short_threshold`	a scalar `numeric` vector. Specifies the threshold for long positions. Default: 0.5.
`weighted`	a scalar `logical` vector. If 'TRUE' adjusts portoflio weights with respect to sorting variable values, else equal weights are used. Defaults to 'FALSE'.