BBG_futures_TS: Retrieves futures term structure historical data from...

In bautheac/pullit: Pulling financial data from Bloomberg made easy

Description

Provided with a set of futures active contract Bloomberg tickers, term structure positions, roll parameters and a time period, queries Bloomberg for the corresponding term structure historical data.

Usage

BBG_futures_TS(
  active_contract_tickers,
  start,
  end,
  TS_positions,
  roll_type,
  roll_days,
  roll_months,
  roll_adjustment,
  verbose = T,
  ...
)

Arguments

active_contract_tickers	a chatacter vector. Specifies the futures active contract Bloomberg tickers to query data for.
start	a scalar character vector. Specifies the starting date for the query in the following format: 'yyyy-mm-dd'.
end	a scalar character vector. Specifies the end date for the query in the following format: 'yyyy-mm-dd'.
TS_positions	an integer vector. Specifies the term structure positions to query data for.
roll_type	a scalar chatacter vector. Specifies roll type to use for term structure ticker construction. Must be one of 'A', 'B', 'D', 'F', 'N', 'O' or 'R'.
roll_days	a scalar integer vector. Specifies the day the roll should be done. Refers to the day of the month (roll_type = 'F') or the number of days before a reference date (roll_type = 'D', roll_type = 'N', roll_type = 'O', roll_type = 'R'). Works in tandem with roll_months below.
roll_months	a scalar integer vector. Specifies the month the roll should be done. Refers to the number of months before a reference date (roll_type = 'D', roll_type = 'N', roll_type = 'O', roll_type = 'R'). Works in tandem with roll_days above.
roll_adjustment	a scalar chatacter vector. Specifies roll adjustment method to use for term structure ticker construction. Must be one of 'D', 'N', 'R', or 'W'.
verbose	a logical scalar vector. Should progression messages be printed? Defaults to TRUE.
...	optional parameters to pass to the bdh function from the Rblpapi package used for the query (options parameter).

Value

An S4 object of class FuturesTS.

See Also

• "GFUT <GO>" on a Bloomberg terminal.

• The rolls dataset in the BBGsymbols package (finRes suite) for details regarding the roll_type & roll_adjustment parameters.

• The fields dataset in the BBGsymbols package for details on the Bloomnerg fields used here.

• Helper datasets in the fewISOs package (finRes suite).

Examples

## Not run: 

    BBG_futures_market(type = 'term structure',
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2000-01-01", end = as.character(Sys.Date()),
      TS_positions = 1L:5L, roll_type = "A", roll_days = 0L,
      roll_months = 0L, roll_adjustment = "N")

  
## End(Not run)

bautheac/pullit documentation built on June 7, 2021, 12:11 p.m.