Usage
cleanup_column(x, name.var, id.var, date.var, nmv.var, gmv.var, pnl.var, contract.var, sector.var, strategy.var, substrategy.var, portfolio.var)
Arguments
x
is a data frame that contains the necessary information.
name.var
is the column name of the instrument name column in the input
data set, character type. The default value of this variable is "name". The user has to
specify name.var if she passes in a data frame with a different column name for the
instrument name. The input data set must contain either a name column or an ID column.
id.var
is the column name of the instrument ID column, character type.
The default value of this variable is "id". If the input data set labels the
column of instrument ID's with some other column name, the user has to pass
in the column name here. The input data set has to contain either a name
column or an ID column.
date.var
is the column name of the date column, character type. The
default value of this variable is "date". This column has to exist, and the
column name has to be correct in order for the function to process the data
set properly.
nmv.var
is the column name of the "net market value" column, character
type. The default value of this variable is "start.nmv". The input data set
has to contain either a "net market value" column or a "number of contract"
column.
gmv.var
The column name of the "gross market value" column if exists,
character type. The default value of this variable is "gmv". Such column will
be automatically calculated from the "net market value" column if it does not
exist.
pnl.var
The column name of the profit-and-loss column, character type.
The default value of this variable is "pnl.adj". The data set has to contain
such column so that the function can function properly. If such column is
missing, the function will return an error indicating the problem.
contract.var
The column name of the contract number column, character
type. The default value of this variable is "num.contract.start". If such
column is missing, the function will instead use net market value as the
contract number for each day.
sector.var
is the column name of the sector column, character type. The
default value of this variable is "sector". The sector column helps the user
to group instruments into big groups according to industries. The function
will still perform properly if the column name for sector is wrong.
strategy.var
The column name of the strategy column, if any. Character
type. The default value of this variable is "strategy". This column can be
missing from the input data set.
substrategy.var
The column name of the substrategy column, if any.
Character type. The default value of this variable is "substrategy". This
column can be missing from the input data set.
portfolio.var
The column name of the portfolio number column, if any.
Character type. The default value of this variable is "portfolio". This
column can be missing from the input data set.