Notionalize: Convert price series to/from notional value

In redmode/FinancialInstrument: Financial Instrument Model Infrastructure for R

Description

Notionalize multiplies all prices by the contract multiplier Denotionalize divides all prices by the contract multiplier

Usage

  Notionalize(x, name, env = .GlobalEnv)

  Denotionalize(x, name, env = .GlobalEnv)

Arguments

x	an xts object, or an object that is coercible to xts
name	primary_id of the instrument that has the multiplier; usually the same as the name of x
env	environment. where to find x if only its name is provided

Details

The mulitplier is only applied to columns with prices. A column is considered to be a price column if its name contains “Open”, “High”, “Low”, “Close”, “Bid”, “Ask”, “Trade”, “Mid”, or “Price” and does not contain “Size”, “Sz”, “Volume”, “Qty”, “Quantity”, “OpInt”, “OpenInterest” (not case-sensitive)

Value

an object of the same class as x

Author(s)

Garrett See

Examples

## Not run: 
source("http://tinyurl.com/download-tblox")
getSymbols("CL", src='tblox')
define_futures.tblox()
tail(Notionalize(CL, "CL"))
tail(Denotionalize(Notionalize(CL), "CL"))

## End(Not run)

redmode/FinancialInstrument documentation built on May 27, 2019, 4:03 a.m.