FinancialInstrument v1.3.1


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Financial Instrument Model Infrastructure and Meta-Data

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

Functions in FinancialInstrument

Name Description
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 a source to the 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' check each element of a character vector to see if it is either the primary_id or an identifier of an instrument 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 id.list class print method
print.instrument instrument class print method
update_instruments.morningstar Update instrument metadata for ETFs 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 Create an instrument based on name alone
is.currency class test for object supposedly of type 'currency' 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
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Copyright (c) 2004 - 2018
License GPL
Type Package
LazyLoad yes
Date 2018-01-10
RoxygenNote 6.0.1
NeedsCompilation no
Packaged 2018-01-10 19:32:13.605564 UTC; brian
Repository CRAN
Date/Publication 2018-01-10 23:46:16 UTC

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