FinancialInstrument: Financial Instrument Model Infrastructure for R

Infrastructure for defining meta-data and relationships for financial instruments.

AuthorPeter Carl, Brian G. Peterson, Garrett See
Date of publication2015-11-15 00:23:07
MaintainerG See <gsee000@gmail.com>
LicenseGPL
Version1.2.0
https://r-forge.r-project.org/projects/blotter/

View on R-Forge

Man pages

add.defined.by: Add a source to the defined.by field of an 'instrument'

add.identifier: Add an identifier to an 'instrument'

all.equal.instrument: instrument all.equal method

buildHierarchy: Construct a hierarchy of instruments useful for aggregation

buildRatio: construct price ratios of 2 instruments

build_series_symbols: construct a series of symbols based on root symbol and suffix...

buildSpread: Construct a price/level series for pre-defined multi-leg...

build_spread_symbols: build symbols for exchange guaranteed (calendar) spreads

C2M: Month-to-Code and Code-to-Month

CompareInstrumentFiles: Compare Instrument Files

currencies: currency metadata to be used by 'load.instruments'

exchange_rate: constructor for spot exchange rate instruments

expires: extract the correct expires value from an 'instrument'

expires.character: character expires extraction method

expires.instrument: instrument expires extraction method

expires.spread: spread expires extraction method

expires.xts: xts expires extraction method

FinancialInstrument-package: Construct, manage and store contract specifications for...

FindCommonInstrumentAttributes: Find attributes that more than one instrument have in common

find.instrument: Find the primary_ids of instruments that contain certain...

fn_SpreadBuilder: Calculate prices of a spread from 2 instruments.

format_id: format an id

formatSpreadPrice: format the price of a synthetic instrument

getInstrument: Primary accessor function for getting objects of class...

get_rate: get an exchange rate series

getSymbols.FI: getSymbols method for loading data from split files

instrument: instrument class constructors

instrument_attr: Add or change an attribute of an instrument

instrument.auto: Create an instrument based on name alone

instrument.table: Create data.frame with attributes of all instruments

is.currency: class test for object supposedly of type 'currency'

is.currency.name: check each element of a character vector to see if it is...

is.instrument: class test for object supposedly of type 'instrument'

is.instrument.name: check each element of a character vector to see if it is...

load.instruments: load instrument metadata into the .instrument environment

ls_by_currency: shows or removes instruments of given currency...

ls_by_expiry: list or remove instruments by expiration date

ls_expiries: show unique expiration dates of instruments

ls_instruments: List or Remove instrument objects

ls_instruments_by: Subset names of instruments

ls_strikes: show strike prices of defined options

ls_underlyings: show names of underlyings

make_spread_id: Construct a primary_id for a 'spread' 'instrument' from the...

month_cycle2numeric: coerce month_cycle to a numeric vector

next.future_id: Get the primary_id of the next-to-expire (previously...

Notionalize: Convert price series to/from notional value

option_series.yahoo: constructor for series of options using yahoo data

parse_id: Parse a primary_id

parse_suffix: parse a suffix_id

print.id.list: id.list class print method

print.instrument: instrument class print method

print.suffix.list: suffix.list class print method

redenominate: Redenominate (change the base of) an instrument

root_contracts: future metadata to be used by 'load.instruments'

saveInstruments: Save and Load all instrument definitions

saveSymbols.days: Save data to disk

series_instrument: Constructors for series contracts

setSymbolLookup.FI: set quantmod-style SymbolLookup for instruments

sort_ids: sort primary_ids of instruments

sort.instrument: instrument class sort method

synthetic.instrument: synthetic instrument constructors

Tick2Sec: Convert tick data to one-second data

to_daily: Extract a single row from each day in an xts object

update_instruments.instrument: Update instruments with metadata from another instrument.

update_instruments.iShares: update iShares and SPDR ETF metadata

update_instruments.masterDATA: Update instrument metadata for ETFs

update_instruments.morningstar: Update instrument metadata for ETFs

update_instruments.yahoo: updates instrument metadata with data from yahoo

volep: generate endpoints for volume bars

Functions

add.defined.by Man page
add.identifier Man page
all.equal.instrument Man page
alltick2sec Man page
bond Man page
bond_series Man page
buildBasket Man page
buildHierarchy Man page
buildRatio Man page
build_series_symbols Man page
buildSpread Man page
build_spread_symbols Man page
butterfly Man page
C2M Man page
CompareInstrumentFiles Man page
currencies Man page
currency Man page
Denotionalize Man page
exchange_rate Man page
expires Man page
expires.character Man page
expires.instrument Man page
expires.spread Man page
expires.xts Man page
FinancialInstrument Man page
FinancialInstrument-package Man page
FindCommonInstrumentAttributes Man page
find.instrument Man page
fn_SpreadBuilder Man page
format_id Man page
formatSpreadPrice Man page
fund Man page
future Man page
future_series Man page
getInstrument Man page
.get_rate Man page
getSymbols.FI Man page
guaranteed_spread Man page
ICS Man page
ICS_root Man page
instrument Man page
instrument_attr Man page
instrument.auto Man page
instrument.table Man page
is.currency Man page
is.currency.name Man page
is.instrument Man page
is.instrument.name Man page
load.instruments Man page
loadInstruments Man page
ls_AUD Man page
ls_bonds Man page
ls_by_currency Man page
ls_by_expiry Man page
ls_CAD Man page
ls_calls Man page
ls_CHF Man page
ls_currencies Man page
ls_derivatives Man page
ls_EUR Man page
ls_exchange_rates Man page
ls_expires Man page
ls_expiries Man page
ls_funds Man page
ls_futures Man page
ls_future_series Man page
ls_FX Man page
ls_GBP Man page
ls_guaranteed_spreads Man page
ls_HKD Man page
ls_ICS Man page
ls_ICS_roots Man page
ls_instruments Man page
ls_instruments_by Man page
ls_JPY Man page
ls_non_currencies Man page
ls_non_derivatives Man page
ls_NZD Man page
ls_options Man page
ls_option_series Man page
ls_puts Man page
ls_SEK Man page
ls_spreads Man page
ls_stocks Man page
ls_strikes Man page
ls_synthetics Man page
ls_underlyings Man page
ls_USD Man page
M2C Man page
make_spread_id Man page
MC2N Man page
month_cycle2numeric Man page
next.future_id Man page
Notionalize Man page
option Man page
option_series Man page
option_series.yahoo Man page
parse_id Man page
parse_suffix Man page
prev.future_id Man page
print.id.list Man page
print.instrument Man page
print.suffix.list Man page
redenominate Man page
reloadInstruments Man page
rm_bonds Man page
rm_by_currency Man page
rm_by_expiry Man page
rm_currencies Man page
rm_derivatives Man page
rm_exchange_rates Man page
rm_funds Man page
rm_futures Man page
rm_future_series Man page
rm_FX Man page
rm_instruments Man page
rm_non_derivatives Man page
rm_options Man page
rm_option_series Man page
rm_spreads Man page
rm_stocks Man page
rm_synthetics Man page
root_contracts Man page
saveInstruments Man page
saveSymbols.common Man page
saveSymbols.days Man page
setSymbolLookup.FI Man page
sort_ids Man page
sort.instrument Man page
spread Man page
stock Man page
synthetic Man page
synthetic.instrument Man page
.to_daily Man page
to_secBATV Man page
update_instruments.instrument Man page
update_instruments.iShares Man page
update_instruments.masterDATA Man page
update_instruments.md Man page
update_instruments.morningstar Man page
update_instruments.ms Man page
update_instruments.SPDR Man page
update_instruments.TTR Man page
update_instruments.yahoo Man page
volep Man page

Files

FinancialInstrument/DESCRIPTION
FinancialInstrument/NAMESPACE
FinancialInstrument/NEWS
FinancialInstrument/R
FinancialInstrument/R/CompareInstrumentFiles.R FinancialInstrument/R/FinancialInstrument-package.R FinancialInstrument/R/FindCommonInstrumentAttributes.R FinancialInstrument/R/MonthCodes.R FinancialInstrument/R/Notionalize.R FinancialInstrument/R/Tick2Sec.R FinancialInstrument/R/all.equal.instrument.R FinancialInstrument/R/buildHierarchy.R FinancialInstrument/R/buildSpread.R FinancialInstrument/R/build_symbols.R FinancialInstrument/R/expires.R FinancialInstrument/R/find.instrument.R FinancialInstrument/R/format_id.R FinancialInstrument/R/instrument.R FinancialInstrument/R/instrument.table.R FinancialInstrument/R/load.instruments.R FinancialInstrument/R/ls_by_currency.R FinancialInstrument/R/ls_by_expiry.R FinancialInstrument/R/ls_expiries.R FinancialInstrument/R/ls_instruments.R FinancialInstrument/R/ls_instruments_by.R FinancialInstrument/R/ls_strikes.R FinancialInstrument/R/ls_underlyings.R FinancialInstrument/R/parse_id.R FinancialInstrument/R/redenominate.R FinancialInstrument/R/saveInstruments.R FinancialInstrument/R/saveSymbols.R FinancialInstrument/R/splice.R FinancialInstrument/R/splooth.R FinancialInstrument/R/synthetic.R FinancialInstrument/R/update_instruments.iShares.R FinancialInstrument/R/update_instruments.morningstar.R FinancialInstrument/R/update_instruments.yahoo.R FinancialInstrument/R/volep.R
FinancialInstrument/data
FinancialInstrument/data/currencies.csv.gz
FinancialInstrument/data/future_series.csv.gz
FinancialInstrument/data/root_contracts.csv.gz
FinancialInstrument/demo
FinancialInstrument/demo/00Index
FinancialInstrument/demo/FIdemo2.R
FinancialInstrument/demo/demo.R
FinancialInstrument/inst
FinancialInstrument/inst/THANKS
FinancialInstrument/inst/parser
FinancialInstrument/inst/parser/DJIA.index.R
FinancialInstrument/inst/parser/ISO.currencies.wiki.R
FinancialInstrument/inst/parser/TRTH_BackFill.R
FinancialInstrument/inst/parser/calc.GS10TR.R
FinancialInstrument/inst/parser/define.index.components.yahoo.R
FinancialInstrument/inst/parser/download.DJUBSindex.R
FinancialInstrument/inst/parser/download.MorningstarCLSIndex.R
FinancialInstrument/inst/parser/download.NAREIT.R
FinancialInstrument/inst/parser/download.TrueFX.R
FinancialInstrument/inst/parser/download.goldPrices.R
FinancialInstrument/inst/parser/download.tblox.R
FinancialInstrument/inst/parser/parse.EODdata.R
FinancialInstrument/inst/parser/parse.MSCI.R
FinancialInstrument/inst/parser/parse.Morningstar.R
FinancialInstrument/inst/parser/parse.SP500TR.R
FinancialInstrument/inst/tests
FinancialInstrument/inst/tests/test-C2M.R
FinancialInstrument/inst/tests/test-getSymbols.FI.R
FinancialInstrument/inst/tests/test-instrument.R
FinancialInstrument/inst/tests/test-redenominate.R
FinancialInstrument/man
FinancialInstrument/man/C2M.Rd FinancialInstrument/man/CompareInstrumentFiles.Rd FinancialInstrument/man/FinancialInstrument-package.Rd FinancialInstrument/man/FindCommonInstrumentAttributes.Rd FinancialInstrument/man/Notionalize.Rd FinancialInstrument/man/Tick2Sec.Rd FinancialInstrument/man/add.defined.by.Rd FinancialInstrument/man/add.identifier.Rd FinancialInstrument/man/all.equal.instrument.Rd FinancialInstrument/man/buildHierarchy.Rd FinancialInstrument/man/buildRatio.Rd FinancialInstrument/man/buildSpread.Rd FinancialInstrument/man/build_series_symbols.Rd FinancialInstrument/man/build_spread_symbols.Rd FinancialInstrument/man/currencies.Rd FinancialInstrument/man/exchange_rate.Rd FinancialInstrument/man/expires.Rd FinancialInstrument/man/expires.character.Rd FinancialInstrument/man/expires.instrument.Rd FinancialInstrument/man/expires.spread.Rd FinancialInstrument/man/expires.xts.Rd FinancialInstrument/man/find.instrument.Rd FinancialInstrument/man/fn_SpreadBuilder.Rd FinancialInstrument/man/formatSpreadPrice.Rd FinancialInstrument/man/format_id.Rd FinancialInstrument/man/getInstrument.Rd FinancialInstrument/man/getSymbols.FI.Rd FinancialInstrument/man/get_rate.Rd FinancialInstrument/man/instrument.Rd FinancialInstrument/man/instrument.auto.Rd FinancialInstrument/man/instrument.table.Rd FinancialInstrument/man/instrument_attr.Rd FinancialInstrument/man/is.currency.Rd FinancialInstrument/man/is.currency.name.Rd FinancialInstrument/man/is.instrument.Rd FinancialInstrument/man/is.instrument.name.Rd FinancialInstrument/man/load.instruments.Rd FinancialInstrument/man/ls_by_currency.Rd FinancialInstrument/man/ls_by_expiry.Rd FinancialInstrument/man/ls_expiries.Rd FinancialInstrument/man/ls_instruments.Rd FinancialInstrument/man/ls_instruments_by.Rd FinancialInstrument/man/ls_strikes.Rd FinancialInstrument/man/ls_underlyings.Rd FinancialInstrument/man/make_spread_id.Rd FinancialInstrument/man/month_cycle2numeric.Rd FinancialInstrument/man/next.future_id.Rd FinancialInstrument/man/option_series.yahoo.Rd FinancialInstrument/man/parse_id.Rd FinancialInstrument/man/parse_suffix.Rd FinancialInstrument/man/print.id.list.Rd FinancialInstrument/man/print.instrument.Rd FinancialInstrument/man/print.suffix.list.Rd FinancialInstrument/man/redenominate.Rd FinancialInstrument/man/root_contracts.Rd FinancialInstrument/man/saveInstruments.Rd FinancialInstrument/man/saveSymbols.days.Rd FinancialInstrument/man/series_instrument.Rd FinancialInstrument/man/setSymbolLookup.FI.Rd FinancialInstrument/man/sort.instrument.Rd FinancialInstrument/man/sort_ids.Rd FinancialInstrument/man/synthetic.instrument.Rd FinancialInstrument/man/to_daily.Rd FinancialInstrument/man/update_instruments.iShares.Rd FinancialInstrument/man/update_instruments.instrument.Rd FinancialInstrument/man/update_instruments.masterDATA.Rd FinancialInstrument/man/update_instruments.morningstar.Rd FinancialInstrument/man/update_instruments.yahoo.Rd FinancialInstrument/man/volep.Rd
FinancialInstrument/tests
FinancialInstrument/tests/test-all.R

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