quote32: Treasury Quotes with 1/32nds of Point

In enricoschumann/PMwR: Portfolio Management with R

Treasury Quotes with 1/32nds of Point

Description

Print treasury quotes with 1/32nds of points.

Usage

quote32(price, sep = "(-|'|:)", warn = TRUE)
q32(price, sep = "(-|'|:)", warn = TRUE)

Arguments

price	numeric or character. See Details.
sep	character: a regular expression
warn	logical. Warn about rounding errors?

Details

The function is meant for pretty-printing of US treasury bond quotes; it provides no other functionality.

If price is numeric, it is interpreted as a quote in decimal notation and ‘translated’ into a price quoted in fractions of a point.

If price is character, it is interpreted as a quote in fractional notation.

q32 is a short-hand for quote32.

Value

A numeric vector of class quote32.

Author(s)

Enrico Schumann

References

CME Group (2015). Treasury Futures Price Rounding Conventions. https://www.cmegroup.com/education/articles-and-reports/treasury-futures-price-rounding-conventions.html

Examples

quote32(100 + 17/32 + 0.75/32)
q32("100-172")

q32("100-272") - q32("100-270")
as.numeric(q32("100-272") - q32("100-270"))

enricoschumann/PMwR documentation built on April 13, 2024, 12:18 p.m.