[Blotter-commits] r672 - pkg/FinancialInstrument/demo

[noreply at r-forge.r-project.org]

Author: gsee
Date: 2011-07-11 02:05:47 +0200 (Mon, 11 Jul 2011)
New Revision: 672

Modified:
   pkg/FinancialInstrument/demo/demo.R
Log:
 updated demo

Modified: pkg/FinancialInstrument/demo/demo.R
===================================================================
--- pkg/FinancialInstrument/demo/demo.R	2011-07-11 00:05:08 UTC (rev 671)
+++ pkg/FinancialInstrument/demo/demo.R	2011-07-11 00:05:47 UTC (rev 672)
@@ -5,22 +5,61 @@
 currency("USD")
 currency("GBP")
 currency("EUR")
-currency("YEN")
+currency("JPY")
 
 # now exchange rates
-exchange_rate("USDGBP","USD","GBP")
-exchange_rate("USDEUR","USD","EUR")
-exchange_rate("EURGBP","EUR","GBP")
-exchange_rate("EURYEN","EUR","YEN")
-exchange_rate("USDYEN","USD","YEN")
+exchange_rate("GBPUSD","USD","GBP")
+exchange_rate("EURUSD","USD","EUR")
+exchange_rate("EURGBP","GBP","EUR")
+exchange_rate("EURJPY","JPY","EUR")
+exchange_rate("USDJPY","JPY","USD")
 
-# now a stock and an option contract on it
-stock("IBM","USD",1)
+# now some stocks 
+stock("IBM","USD")
+stock("SPY","USD")
+stock("DIA","USD")
+
+#Contract specs for options on IBM
 option(".IBM","USD",multiplier=100,tick_size=.01, underlying_id="IBM")
-#@TODO:Jeff to pull put and call option series for 2009
 
+#Define tradeable option_series instrument 
+option_series(".IBM","20110716C175", expires="2011-07-16", callput='call',underlying_id='IBM')
+
+#Or use yahoo to help define the specs and all near-term options
+option_series.yahoo('SPY')
+#option_series.yahoo("SPY",Exp=NULL) # would define all options on SPY
+
+#load.instruments("./FinancialInstrument/data/currencies.csv")
+#load.instruments("./FinancialInstrument/data/root_contracts.csv")
+#load.instruments("./FinancialInstrument/data/future_series.csv")
+
 # bond & bond future
 
 # non-US
+stock("BMW","EUR")
+BMW <- getSymbols("BMW.DE",src='yahoo',auto.assign=FALSE)
+EURUSD <- getSymbols("DEXUSEU",src='FRED',auto.assign=FALSE)
 
-# add a spread
+BMW.USD <- redenominate("BMW") #convert prices from EUR to USD 
+# Define a synthetic instrument that is BMW denominated in USD instead of EUR.
+synthetic("BMW.USD","USD",1,members=c("BMW","EURUSD"))
+
+# Define a spread
+getSymbols(c("SPY","DIA")) #download the data for both legs
+SPYDIA.fSB <- fn_SpreadBuilder("SPY","DIA") #build a 2 leg spread with multiple columns
+#or define the spread first
+spread("SPYDIA", "USD", members=c("SPY","DIA"), memberratio=c(1,-1))
+SPYDIA.bS <- buildSpread("SPYDIA", auto.assign=FALSE) #and build it (could be multiple-leg)
+
+SPYDIA.rat <- buildRatio(c("SPY","DIA")) #calculate ratios of prices
+
+
+##Look at what has been defined.
+#bottom-up
+buildHierarchy( c("IBM","SPY",".IBM"), c("currency", "multiplier"))
+#top-down
+it <- instrument.table()
+head(it)
+
+instrument.table( ,attrs.of='USD') #only show attributes that instrument "USD" also has
+