exchange_rate {FinancialInstrument} | R Documentation |
constructor for spot exchange rate instruments
Description
Currency symbols (like any symbol) may be any combination of alphanumeric characters, but the FX market has a convention that says that the first currency in a currency pair is the 'target' and the second currency in the symbol pair is the currency the rate ticks in. So 'EURUSD' can be read as 'USD per 1 EUR'.
Usage
exchange_rate(primary_id = NULL, currency = NULL, counter_currency = NULL,
tick_size = 0.01, identifiers = NULL, assign_i = TRUE,
overwrite = TRUE, ...)
Arguments
primary_id |
string identifier, usually expressed as a currency pair 'USDYEN' or 'EURGBP' |
currency |
string identifying the currency the exchange rate ticks in |
counter_currency |
string identifying the currency which the rate uses as the base 'per 1' multiplier |
tick_size |
minimum price change |
identifiers |
named list of any other identifiers that should also be stored for this instrument |
assign_i |
TRUE/FALSE. Should the instrument be assigned in the
|
overwrite |
|
... |
any other passthru parameters |
Details
In FinancialInstrument
the currency
of the instrument should
be the currency that the spot rate ticks in, so it will typically be the
second currency listed in the symbol.
Thanks to Garrett See for helping sort out the inconsistencies in different naming and calculating conventions.
References
http://financial-dictionary.thefreedictionary.com/Base+Currency