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#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# A copy of the GNU General Public License is available at
# ../../COPYING
################################################################################
# FUNCTION: DESCRIPTION:
# spreads Computes spreads from a 'timeSeries' object
# midquotes Computes mid quotes from a 'timeSeries' object
################################################################################
# DW:
# Setting bid and ask for column names is maybe the best choice. Examples
# are the TED spread or the Libo OIS spread. The spread between High and Low
# is the range.
# ------------------------------------------------------------------------------
spreads <-
function(x, which = c("Bid", "Ask"), tickSize = NULL)
{
# A function implemented by Diethelm Wuertz
# Description:
# Computes spreads from a 'timeSeries' object
# FUNCTION:
# Check arguments:
stopifnot(is.timeSeries(x))
# Extract Title and Documentation:
Title <- x@title
Documentation <- x@documentation
# Compute Spread:
spread <- x[, which[2]] - x[, which[1]]
if (!is.null(tickSize)) series(spread) <- round(series(spread)/tickSize)
# Preserve Title and Documentation:
spread@title <- Title
spread@documentation <- Documentation
# Return Value:
spread
}
# ------------------------------------------------------------------------------
midquotes =
function(x, which = c("Bid", "Ask"))
{
# A function implemented by Diethelm Wuertz
# Description:
# Computes mid quotes from a 'timeSeries' object
# FUNCTION:
# Check arguments:
stopifnot(is.timeSeries(x))
# Extract Title and Documentation:
Title <- x@title
Documentation <- x@documentation
# Compute Mid Quotes:
midquotes = 0.5 * ( x[, which[1]] + x[, which[2]] )
# Preserve Title and Documentation:
midquotes@title <- Title
midquotes@documentation <- Documentation
# Return Value:
midquotes
}
################################################################################
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