FinancialInstrument: Financial Instrument Model Infrastructure for R

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

Author
Peter Carl, Brian G. Peterson, Garrett See
Date of publication
2015-11-15 00:23:07
Maintainer
G See <gsee000@gmail.com>
License
GPL
Version
1.2.0
URLs

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

Files in this package

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