build_series_symbols: construct a series of symbols based on root symbol and suffix...
In braverock/FinancialInstrument: Financial Instrument Model Infrastructure for R
Description
Usage
Arguments
Details
Author(s)
See Also
Description
The columns needed by this version of the function are primary_id
and month_cycle. primary_id should match the primary_id
of the instrument describing the root contract.
month_cycle should contain a comma delimited string describing the
month sequence to use, e.g. "F,G,H,J,K,M,N,Q,U,V,X,Z" for all months
using the standard futures letters, or "H,M,U,Z" for quarters, or
"Mar,Jun,Sep,Dec" for quarters as three-letter month abbreviations, etc.
The correct values will vary based on your data source.
Usage
1
build_series_symbols(roots, yearlist = c(0, 1))
Arguments
roots
data.frame containing at least columns primary_id and month_cycle, see Details
yearlist
vector of year suffixes to be applied, see Details
Details
TODO add more flexibility in input formats for roots
Author(s)
Brian G. Peterson
See Also
braverock/FinancialInstrument documentation built on May 13, 2019, 2:32 a.m.
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Description Usage Arguments Details Author(s) See Also
Description
The columns needed by this version of the function are primary_id
and month_cycle. primary_id should match the primary_id
of the instrument describing the root contract.
month_cycle should contain a comma delimited string describing the
month sequence to use, e.g. "F,G,H,J,K,M,N,Q,U,V,X,Z" for all months
using the standard futures letters, or "H,M,U,Z" for quarters, or
"Mar,Jun,Sep,Dec" for quarters as three-letter month abbreviations, etc.
The correct values will vary based on your data source.
Usage
1 | build_series_symbols(roots, yearlist = c(0, 1))
|
Arguments
roots |
data.frame containing at least columns |
yearlist |
vector of year suffixes to be applied, see Details |
Details
TODO add more flexibility in input formats for roots
Author(s)
Brian G. Peterson
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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