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FinancialInstrument (version 1.3.1)
Financial Instrument Model Infrastructure and Meta-Data
Description
Infrastructure for defining meta-data and relationships for financial instruments.
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Version
Version
1.3.1
1.2.0
1.1
1.0
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Install
install.packages('FinancialInstrument')
Monthly Downloads
776
Version
1.3.1
License
GPL
Issues
1
Pull Requests
0
Stars
17
Forks
16
Repository
https://github.com/braverock/FinancialInstrument
Maintainer
Ross Bennett
Last Published
January 10th, 2018
Functions in FinancialInstrument (1.3.1)
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Notionalize
Convert price series to/from notional value
to_secBATV
Convert tick data to one-second data
FinancialInstrument-package
Construct, manage and store contract specifications for trading
FindCommonInstrumentAttributes
Find attributes that more than one instrument have in common
all.equal.instrument
instrument all.equal method
buildHierarchy
Construct a hierarchy of instruments useful for aggregation
add.defined.by
Add a source to the defined.by field of an
instrument
add.identifier
Add an identifier to an
instrument
C2M
Month-to-Code and Code-to-Month
buildRatio
construct price ratios of 2 instruments
buildSpread
Construct a price/level series for pre-defined multi-leg spread instrument
expires.instrument
instrument expires extraction method
expires.spread
spread expires extraction method
currencies
currency metadata to be used by
load.instruments
exchange_rate
constructor for spot exchange rate instruments
fn_SpreadBuilder
Calculate prices of a spread from 2 instruments.
formatSpreadPrice
format the price of a synthetic instrument
load.instruments
load instrument metadata into the .instrument environment
CompareInstrumentFiles
Compare Instrument Files
expires
extract the correct expires value from an
instrument
expires.character
character expires extraction method
expires.xts
xts expires extraction method
instrument.table
Create data.frame with attributes of all instruments
instrument_attr
Add or change an attribute of an instrument
next.future_id
Get the primary_id of the next-to-expire (previously expiring) future_series instrument
find.instrument
Find the primary_ids of instruments that contain certain strings
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 either the primary_id or an identifier of an
instrument
option_series.yahoo
constructor for series of options using yahoo data
root_contracts
future metadata to be used by
load.instruments
saveInstruments
Save and Load all instrument definitions
update_instruments.instrument
Update instruments with metadata from another instrument.
parse_id
Parse a primary_id
parse_suffix
parse a suffix_id
print.suffix.list
suffix.list class print method
getSymbols.FI
getSymbols method for loading data from split files
.get_rate
get an exchange rate series
ls_by_expiry
list or remove instruments by expiration date
ls_expiries
show unique expiration dates of instruments
update_instruments.masterDATA
Update instrument metadata for ETFs
build_series_symbols
construct a series of symbols based on root symbol and suffix letters
build_spread_symbols
build symbols for exchange guaranteed (calendar) spreads
format_id
format an id
getInstrument
Primary accessor function for getting objects of class 'instrument'
ls_strikes
show strike prices of defined options
ls_underlyings
show names of underlyings
print.id.list
id.list class print method
print.instrument
instrument class print method
update_instruments.morningstar
Update instrument metadata for ETFs
update_instruments.yahoo
updates instrument metadata with data from yahoo
ls_by_currency
shows or removes instruments of given currency denomination(s)
ls_instruments
List or Remove instrument objects
ls_instruments_by
Subset names of instruments
saveSymbols.days
Save data to disk
future_series
Constructors for series contracts
volep
generate endpoints for volume bars
redenominate
Redenominate (change the base of) an instrument
.to_daily
Extract a single row from each day in an xts object
update_instruments.iShares
update iShares and SPDR ETF metadata
instrument
instrument class constructors
instrument.auto
Create an instrument based on name alone
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 either the primary_id or an identifier of a
currency
make_spread_id
Construct a primary_id for a
spread
instrument
from the primary_ids of its members
month_cycle2numeric
coerce month_cycle to a numeric vector
setSymbolLookup.FI
set quantmod-style SymbolLookup for instruments
sort.instrument
instrument class sort method
sort_ids
sort primary_ids of instruments
synthetic
synthetic instrument constructors