Financial Instrument Model Infrastructure and Meta-Data
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Documentation for package ‘FinancialInstrument’ version 1.3.1
- DESCRIPTION file.
- Code demos. Use demo() to run them.
- Package NEWS.
Help Pages
A B C D E F G I L M N O P R S T U V misc
| FinancialInstrument-package | Construct, manage and store contract specifications for trading |
-- A --
| add.defined.by | Add a source to the defined.by field of an 'instrument' |
| add.identifier | Add an identifier to an 'instrument' |
| alltick2sec | Convert tick data to one-second data |
-- B --
| bond | instrument class constructors |
| bond_series | Constructors for series contracts |
| buildBasket | Construct a price/level series for pre-defined multi-leg spread instrument |
| buildHierarchy | Construct a hierarchy of instruments useful for aggregation |
| buildRatio | construct price ratios of 2 instruments |
| buildSpread | Construct a price/level series for pre-defined multi-leg spread instrument |
| 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 |
| butterfly | synthetic instrument constructors |
-- C --
| C2M | Month-to-Code and Code-to-Month |
| CompareInstrumentFiles | Compare Instrument Files |
| currencies | currency metadata to be used by 'load.instruments' |
| currency | instrument class constructors |
-- D --
| Denotionalize | Convert price series to/from notional value |
-- E --
| exchange_rate | constructor for spot exchange rate instruments |
| expires | extract the correct expires value from an 'instrument' |
-- F --
| FinancialInstrument | Construct, manage and store contract specifications for trading |
| find.instrument | Find the primary_ids of instruments that contain certain strings |
| FindCommonInstrumentAttributes | Find attributes that more than one instrument have in common |
| fn_SpreadBuilder | Calculate prices of a spread from 2 instruments. |
| formatSpreadPrice | format the price of a synthetic instrument |
| format_id | format an id |
| fund | instrument class constructors |
| future | instrument class constructors |
| future_series | Constructors for series contracts |
-- G --
| getInstrument | Primary accessor function for getting objects of class 'instrument' |
| getSymbols.FI | getSymbols method for loading data from split files |
| guaranteed_spread | synthetic instrument constructors |
-- I --
| ICS | synthetic instrument constructors |
| ICS_root | synthetic instrument constructors |
| instrument | instrument class constructors |
| instrument.auto | Create an instrument based on name alone |
| instrument.table | Create data.frame with attributes of all instruments |
| instrument_attr | Add or change an attribute of an instrument |
| 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' |
| 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' |
-- L --
| load.instruments | load instrument metadata into the .instrument environment |
| loadInstruments | Save and Load all instrument definitions |
| ls_AUD | shows or removes instruments of given currency denomination(s) |
| ls_bonds | List or Remove instrument objects |
| ls_by_currency | shows or removes instruments of given currency denomination(s) |
| ls_by_expiry | list or remove instruments by expiration date |
| ls_CAD | shows or removes instruments of given currency denomination(s) |
| ls_calls | List or Remove instrument objects |
| ls_CHF | shows or removes instruments of given currency denomination(s) |
| ls_currencies | List or Remove instrument objects |
| ls_derivatives | List or Remove instrument objects |
| ls_EUR | shows or removes instruments of given currency denomination(s) |
| ls_exchange_rates | List or Remove instrument objects |
| ls_expires | show unique expiration dates of instruments |
| ls_expiries | show unique expiration dates of instruments |
| ls_funds | List or Remove instrument objects |
| ls_futures | List or Remove instrument objects |
| ls_future_series | List or Remove instrument objects |
| ls_FX | List or Remove instrument objects |
| ls_GBP | shows or removes instruments of given currency denomination(s) |
| ls_guaranteed_spreads | List or Remove instrument objects |
| ls_HKD | shows or removes instruments of given currency denomination(s) |
| ls_ICS | List or Remove instrument objects |
| ls_ICS_roots | List or Remove instrument objects |
| ls_instruments | List or Remove instrument objects |
| ls_instruments_by | Subset names of instruments |
| ls_JPY | shows or removes instruments of given currency denomination(s) |
| ls_non_currencies | List or Remove instrument objects |
| ls_non_derivatives | List or Remove instrument objects |
| ls_NZD | shows or removes instruments of given currency denomination(s) |
| ls_options | List or Remove instrument objects |
| ls_option_series | List or Remove instrument objects |
| ls_puts | List or Remove instrument objects |
| ls_SEK | shows or removes instruments of given currency denomination(s) |
| ls_spreads | List or Remove instrument objects |
| ls_stocks | List or Remove instrument objects |
| ls_strikes | show strike prices of defined options |
| ls_synthetics | List or Remove instrument objects |
| ls_underlyings | show names of underlyings |
| ls_USD | shows or removes instruments of given currency denomination(s) |
-- M --
| M2C | Month-to-Code and Code-to-Month |
| make_spread_id | Construct a primary_id for a 'spread' 'instrument' from the primary_ids of its members |
| MC2N | coerce month_cycle to a numeric vector |
| month_cycle2numeric | coerce month_cycle to a numeric vector |
-- N --
| next.future_id | Get the primary_id of the next-to-expire (previously expiring) future_series instrument |
| Notionalize | Convert price series to/from notional value |
-- O --
| option | instrument class constructors |
| option_series | Constructors for series contracts |
| option_series.yahoo | constructor for series of options using yahoo data |
-- P --
| parse_id | Parse a primary_id |
| parse_suffix | parse a suffix_id |
| prev.future_id | Get the primary_id of the next-to-expire (previously expiring) future_series instrument |
-- R --
| redenominate | Redenominate (change the base of) an instrument |
| reloadInstruments | Save and Load all instrument definitions |
| rm_bonds | List or Remove instrument objects |
| rm_by_currency | shows or removes instruments of given currency denomination(s) |
| rm_by_expiry | list or remove instruments by expiration date |
| rm_currencies | List or Remove instrument objects |
| rm_derivatives | List or Remove instrument objects |
| rm_exchange_rates | List or Remove instrument objects |
| rm_funds | List or Remove instrument objects |
| rm_futures | List or Remove instrument objects |
| rm_future_series | List or Remove instrument objects |
| rm_FX | List or Remove instrument objects |
| rm_instruments | List or Remove instrument objects |
| rm_non_derivatives | List or Remove instrument objects |
| rm_options | List or Remove instrument objects |
| rm_option_series | List or Remove instrument objects |
| rm_spreads | List or Remove instrument objects |
| rm_stocks | List or Remove instrument objects |
| rm_synthetics | List or Remove instrument objects |
| root_contracts | future metadata to be used by 'load.instruments' |
-- S --
| saveInstruments | Save and Load all instrument definitions |
| saveSymbols.common | Save data to disk |
| saveSymbols.days | Save data to disk |
| setSymbolLookup.FI | set quantmod-style SymbolLookup for instruments |
| sort_ids | sort primary_ids of instruments |
| spread | synthetic instrument constructors |
| stock | instrument class constructors |
| synthetic | synthetic instrument constructors |
| synthetic.instrument | synthetic instrument constructors |
-- T --
| to_secBATV | Convert tick data to one-second data |
-- U --
| update_instruments.instrument | Update instruments with metadata from another instrument. |
| update_instruments.iShares | update iShares and SPDR ETF metadata |
| update_instruments.masterDATA | Update instrument metadata for ETFs |
| update_instruments.md | Update instrument metadata for ETFs |
| update_instruments.morningstar | Update instrument metadata for ETFs |
| update_instruments.ms | Update instrument metadata for ETFs |
| update_instruments.SPDR | update iShares and SPDR ETF metadata |
| update_instruments.TTR | updates instrument metadata with data from yahoo |
| update_instruments.yahoo | updates instrument metadata with data from yahoo |
-- V --
| volep | generate endpoints for volume bars |
-- misc --
| .get_rate | get an exchange rate series |
| .to_daily | Extract a single row from each day in an xts object |