FinancialInstrument: Financial Instrument Model Infrastructure for R

Description Usage Arguments Details Value Note Author(s) See Also Examples

Build price series for spreads, butterflies, or other synthetic instruments, using metadata of a previously defined synthetic instrument.

  buildSpread(spread_id, Dates = NULL, onelot = TRUE,
    prefer = NULL, auto.assign = TRUE, env = .GlobalEnv)

  buildBasket(spread_id, Dates = NULL, onelot = TRUE,
    prefer = NULL, auto.assign = TRUE, env = .GlobalEnv)

`spread_id`	The name of the `instrument` that contains members and memberratio
`Dates`	Date range on which to subset. Also, if a member's data is not available via `get` `getSymbols` will be called, and the values of the `from` and `to` arguments will be determined using `.parseISO8601` on `Dates`.
`onelot`	Should the series be divided by the first leg's ratio?
`prefer`	Price column to use to build structure.
`auto.assign`	Assign the spread? If FALSE, the xts object will be returned.
`env`	Environment holding data for members as well as where spread data will be assigned.

The spread and all legs must be defined instruments.

This function can build multileg spreads such as calendars, butterflies, condors, etc. However, the returned series will be univariate. It does not return multiple columns (e.g. ‘Bid’, ‘Ask’, ‘Mid’) like fn_SpreadBuilder does.

buildBasket is an alias

TODO: allow for multiplier (divisor) that is a vector.

If auto.assign is FALSE, a univariate xts object. Otherwise, the xts object will be assigned to spread_id and the spread_id will be returned.

this could also be used to build a basket or a strip by using only positive values in memberratio

Brian Peterson, Garrett See

fn_SpreadBuilder spread for instructions on defining the spread

## Not run: 
currency("USD")
stock("SPY","USD",1)
stock("DIA","USD",1)
getSymbols(c("SPY","DIA"))

spread("SPYDIA", "USD", c("SPY","DIA"),c(1,-1)) #define it.
buildSpread('SPYDIA') #build it.
head(SPYDIA)


## End(Not run)