FinancialInstrument (version 1.3.1)

Notionalize: Convert price series to/from notional value

Description

Notionalize multiplies all prices by the contract multiplier Denotionalize divides all prices by the contract multiplier

Usage

Notionalize(x, name, env = .GlobalEnv)
Denotionalize(x, name, env = .GlobalEnv)

Arguments

x

an xts object, or an object that is coercible to xts

name

primary_id of the instrument that has the multiplier; usually the same as the name of x

env

environment. where to find x if only its name is provided

Value

an object of the same class as x

Details

The mulitplier is only applied to columns with prices. A column is considered to be a price column if its name contains “Open”, “High”, “Low”, “Close”, “Bid”, “Ask”, “Trade”, “Mid”, or “Price” and does not contain “Size”, “Sz”, “Volume”, “Qty”, “Quantity”, “OpInt”, “OpenInterest” (not case-sensitive)

Examples

# NOT RUN {
source("http://tinyurl.com/download-tblox")
getSymbols("CL", src='tblox')
define_futures.tblox()
tail(Notionalize(CL, "CL"))
tail(Denotionalize(Notionalize(CL), "CL"))
# }