Construct a price/level series for pre-defined multi-leg spread instrument
Build price series for spreads, butterflies, or other synthetic instruments, using metadata of a previously defined synthetic instrument.
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The name of the
Date range on which to subset. Also, if a member's data is not
Should the series be divided by the first leg's ratio?
Price column to use to build structure.
Assign the spread? If FALSE, the xts object will be returned.
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
buildBasket is an alias
TODO: allow for multiplier (divisor) that is a vector.
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
spread for instructions on defining the spread
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