Package: FinancialInstrument 1.3.0

Ross Bennett

FinancialInstrument: Financial Instrument Model Infrastructure for R

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

Authors:Peter Carl, Brian G. Peterson, Garrett See, Ross Bennett

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FinancialInstrument.pdf |FinancialInstrument.html✨
FinancialInstrument/json (API)
NEWS

# Install 'FinancialInstrument' in R:
install.packages('FinancialInstrument', repos = c('https://braverock.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/braverock/financialinstrument/issues

Datasets:

On CRAN:

4.96 score 18 stars 102 scripts 757 downloads 129 exports 7 dependencies

Last updated 7 years agofrom:98bcf09fc8. Checks:OK: 5 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 10 2024
R-4.5-winNOTENov 10 2024
R-4.5-linuxNOTENov 10 2024
R-4.4-winOKNov 10 2024
R-4.4-macOKNov 10 2024
R-4.3-winOKNov 10 2024
R-4.3-macOKNov 10 2024

Exports:.to_dailyadd.defined.byadd.identifierbondbond_seriesbuild_series_symbolsbuild_spread_symbolsbuildBasketbuildHierarchybuildRatiobuildSpreadbutterflyC2MCompareInstrumentFilescurrencyDenotionalizeexchange_rateexpiresfind.instrumentfn_SpreadBuilderformat_idformatSpreadPricefundfuturefuture_seriesgetInstrumentgetSymbols.FIguaranteed_spreadICSICS_rootinstrumentinstrument_attrinstrument.autoinstrument.tableis.currencyis.currency.nameis.instrumentis.instrument.nameload.instrumentsloadInstrumentsls_AUDls_bondsls_by_currencyls_by_expiryls_CADls_callsls_CHFls_currenciesls_derivativesls_EURls_exchange_ratesls_expiresls_expiriesls_fundsls_future_seriesls_futuresls_FXls_GBPls_guaranteed_spreadsls_HKDls_ICSls_ICS_rootsls_instrumentsls_instruments_byls_JPYls_non_currenciesls_non_derivativesls_NZDls_option_seriesls_optionsls_putsls_SEKls_spreadsls_stocksls_strikesls_syntheticsls_underlyingsls_USDM2Cmake_spread_idMC2Nmonth_cycle2numericnext.future_idNotionalizeoptionoption_seriesoption_series.yahooparse_idparse_suffixprev.future_idredenominatereloadInstrumentsrm_bondsrm_by_currencyrm_by_expiryrm_currenciesrm_derivativesrm_exchange_ratesrm_fundsrm_future_seriesrm_futuresrm_FXrm_instrumentsrm_non_derivativesrm_option_seriesrm_optionsrm_spreadsrm_stocksrm_syntheticssaveInstrumentssaveSymbols.commonsaveSymbols.dayssetSymbolLookup.FIsort_idsspreadstocksyntheticsynthetic.instrumentto_secBATVupdate_instruments.instrumentupdate_instruments.iSharesupdate_instruments.masterDATAupdate_instruments.mdupdate_instruments.morningstarupdate_instruments.msupdate_instruments.SPDRupdate_instruments.TTRupdate_instruments.yahoovolep

Dependencies:curljsonlitelatticequantmodTTRxtszoo

Readme and manuals

Help Manual

Help pageTopics
Construct, manage and store contract specifications for tradingFinancialInstrument-package FinancialInstrument
get an exchange rate series.get_rate
Extract a single row from each day in an xts object.to_daily
Add a source to the defined.by field of an 'instrument'add.defined.by
Add an identifier to an 'instrument'add.identifier
construct a series of symbols based on root symbol and suffix lettersbuild_series_symbols
build symbols for exchange guaranteed (calendar) spreadsbuild_spread_symbols
Construct a hierarchy of instruments useful for aggregationbuildHierarchy
construct price ratios of 2 instrumentsbuildRatio
Construct a price/level series for pre-defined multi-leg spread instrumentbuildBasket buildSpread
Month-to-Code and Code-to-MonthC2M M2C
Compare Instrument FilesCompareInstrumentFiles
currency metadata to be used by 'load.instruments'currencies
constructor for spot exchange rate instrumentsexchange_rate
extract the correct expires value from an 'instrument'expires
Find the primary_ids of instruments that contain certain stringsfind.instrument
Find attributes that more than one instrument have in commonFindCommonInstrumentAttributes
Calculate prices of a spread from 2 instruments.fn_SpreadBuilder
format an idformat_id
format the price of a synthetic instrumentformatSpreadPrice
Constructors for series contractsbond_series future_series option_series
Primary accessor function for getting objects of class 'instrument'getInstrument
getSymbols method for loading data from split filesgetSymbols.FI
instrument class constructorsbond currency fund future instrument option stock
Add or change an attribute of an instrumentinstrument_attr
Create an instrument based on name aloneinstrument.auto
Create data.frame with attributes of all instrumentsinstrument.table
class test for object supposedly of type 'currency'is.currency
check each element of a character vector to see if it is either the primary_id or an identifier of a 'currency'is.currency.name
class test for object supposedly of type 'instrument'is.instrument
check each element of a character vector to see if it is either the primary_id or an identifier of an 'instrument'is.instrument.name
load instrument metadata into the .instrument environmentload.instruments
shows or removes instruments of given currency denomination(s)ls_AUD ls_by_currency ls_CAD ls_CHF ls_EUR ls_GBP ls_HKD ls_JPY ls_NZD ls_SEK ls_USD rm_by_currency
list or remove instruments by expiration datels_by_expiry rm_by_expiry
show unique expiration dates of instrumentsls_expires ls_expiries
List or Remove instrument objectsls_bonds ls_calls ls_currencies ls_derivatives ls_exchange_rates ls_funds ls_futures ls_future_series ls_FX ls_guaranteed_spreads ls_ICS ls_ICS_roots ls_instruments ls_non_currencies ls_non_derivatives ls_options ls_option_series ls_puts ls_spreads ls_stocks ls_synthetics rm_bonds rm_currencies rm_derivatives rm_exchange_rates rm_funds rm_futures rm_future_series rm_FX rm_instruments rm_non_derivatives rm_options rm_option_series rm_spreads rm_stocks rm_synthetics
Subset names of instrumentsls_instruments_by
show strike prices of defined optionsls_strikes
show names of underlyingsls_underlyings
Construct a primary_id for a 'spread' 'instrument' from the primary_ids of its membersmake_spread_id
coerce month_cycle to a numeric vectorMC2N month_cycle2numeric
Get the primary_id of the next-to-expire (previously expiring) future_series instrumentnext.future_id prev.future_id
Convert price series to/from notional valueDenotionalize Notionalize
constructor for series of options using yahoo dataoption_series.yahoo
Parse a primary_idparse_id
parse a suffix_idparse_suffix
Redenominate (change the base of) an instrumentredenominate
future metadata to be used by 'load.instruments'root_contracts
Save and Load all instrument definitionsloadInstruments reloadInstruments saveInstruments
Save data to disksaveSymbols.common saveSymbols.days
set quantmod-style SymbolLookup for instrumentssetSymbolLookup.FI
sort primary_ids of instrumentssort_ids
synthetic instrument constructorsbutterfly guaranteed_spread ICS ICS_root spread synthetic synthetic.instrument
Convert tick data to one-second dataalltick2sec to_secBATV
Update instruments with metadata from another instrument.update_instruments.instrument
update iShares and SPDR ETF metadataupdate_instruments.iShares update_instruments.SPDR
Update instrument metadata for ETFsupdate_instruments.masterDATA update_instruments.md
Update instrument metadata for ETFsupdate_instruments.morningstar update_instruments.ms
updates instrument metadata with data from yahooupdate_instruments.TTR update_instruments.yahoo
generate endpoints for volume barsvolep