exchange_rate: constructor for spot exchange rate instruments

In redmode/FinancialInstrument: Financial Instrument Model Infrastructure for R

Description

Currency symbols (like any symbol) may be any combination of alphanumeric characters, but the FX market has a convention that says that the first currency in a currency pair is the 'target' and the second currency in the symbol pair is the currency the rate ticks in. So 'EURUSD' can be read as 'USD per 1 EUR'.

Usage

  exchange_rate(primary_id = NULL, currency = NULL,
    counter_currency = NULL, tick_size = 0.01,
    identifiers = NULL, assign_i = TRUE, overwrite = TRUE,
    ...)

Arguments

primary_id	string identifier, usually expressed as a currency pair 'USDYEN' or 'EURGBP'
currency	string identifying the currency the exchange rate ticks in
counter_currency	string identifying the currency which the rate uses as the base 'per 1' multiplier
tick_size	minimum price change
identifiers	named list of any other identifiers that should also be stored for this instrument
assign_i	TRUE/FALSE. Should the instrument be assigned in the .instrument environment? (Default TRUE)
overwrite	TRUE by default. If FALSE, an error will be thrown if there is already an instrument defined with the same primary_id.
...	any other passthru parameters

Details

In FinancialInstrument the currency of the instrument should be the currency that the spot rate ticks in, so it will typically be the second currency listed in the symbol.

Thanks to Garrett See for helping sort out the inconsistencies in different naming and calculating conventions.

References

http://financial-dictionary.thefreedictionary.com/Base+Currency

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