[Blotter-commits] r701 - in pkg/FinancialInstrument: R man

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

Author: gsee
Date: 2011-07-26 17:19:33 +0200 (Tue, 26 Jul 2011)
New Revision: 701

Modified:
   pkg/FinancialInstrument/R/buildSpread.R
   pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd
Log:
- add ability to pass vector of instrument names to fn_SpreadBuilder
- update docs


Modified: pkg/FinancialInstrument/R/buildSpread.R
===================================================================
--- pkg/FinancialInstrument/R/buildSpread.R	2011-07-25 19:12:08 UTC (rev 700)
+++ pkg/FinancialInstrument/R/buildSpread.R	2011-07-26 15:19:33 UTC (rev 701)
@@ -135,9 +135,14 @@
 
 #' Calculate prices of a spread from 2 instruments.
 #'
+#' Given 2 products, calculate spread values for as many columns as practicable 
+#'
+#' \code{prod1} and \code{prod2} can be the names of instruments, or the xts objects themselves.
+#' Alternatively, \code{prod2} can be omitted, and a vector of 2 instrument names can be given to \code{prod1}. 
+#' See the last example for this usage.
+#' 
 #' It will try to get data for \code{prod1} and \code{prod2} from .GlobalEnv.  
 #' If it cannot find the data, it will get it with a call to getSymbols. 
-#' 
 #' Prices are multiplied by multipliers and exchange rates to get notional values in the currency specified.
 #' The second leg's notional values are multiplied by the ratio.
 #' Then the difference is taken between the notionals of leg1 and the new values for leg2.
@@ -147,8 +152,8 @@
 #' \sQuote{duplicated} removes any duplicate indexes.
 #' \sQuote{price.change} only return rows where there was a price change in the Bid, Mid or Ask Price of the spread.
 #'
-#' @param prod1 chr name of instrument that will be the 1st leg of a 2 leg spread
-#' @param prod2 chr name of instrument that will be the 2nd leg of a 2 leg spread
+#' @param prod1 chr name of instrument that will be the 1st leg of a 2 leg spread (Can also be xts data for first product)
+#' @param prod2 chr name of instrument that will be the 2nd leg of a 2 leg spread (Can also be xts data for second product)
 #' @param ratio hedge ratio. Can be a single number, or a vector of same length as data.
 #' @param currency chr name of currency denomination of the spread
 #' @param from from Date to pass through to getSymbols if needed.
@@ -181,6 +186,12 @@
 #'
 #' fSB3 <- fn_SpreadBuilder("SPY","DIA",1.1) #assuming you first somehow calculated the ratio to be a constant 1.1
 #' head(fSB)
+#'
+#' # Call fn_SpreadBuilder with vector of 2 instrument names
+#' # in 1 arg instead of using both prod1 and prod2.
+#' fSB4 <- fn_SpreadBuilder(c("SPY","DIA"))
+#' #download data and plot the closing values of a spread in one line
+#' chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")))))
 #' }
 #' @export
 fn_SpreadBuilder <- function(prod1, prod2, ratio=1, currency='USD', from=NULL, to=NULL, session_times=NULL, 
@@ -191,6 +202,11 @@
         stop("Please install quantmod before using this function.")
     }
 
+    if (length(prod1) == 2 && missing(prod2)) {
+        prod2 <- prod1[2]
+        prod1 <- prod1[1]
+    }
+
     unique_method<-unique_method[1]
 
     Data.1 <- NULL

Modified: pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd
===================================================================
--- pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd	2011-07-25 19:12:08 UTC (rev 700)
+++ pkg/FinancialInstrument/man/fn_SpreadBuilder.Rd	2011-07-26 15:19:33 UTC (rev 701)
@@ -9,10 +9,12 @@
 }
 \arguments{
   \item{prod1}{chr name of instrument that will be the 1st
-  leg of a 2 leg spread}
+  leg of a 2 leg spread (Can also be xts data for first
+  product)}
 
   \item{prod2}{chr name of instrument that will be the 2nd
-  leg of a 2 leg spread}
+  leg of a 2 leg spread (Can also be xts data for second
+  product)}
 
   \item{ratio}{hedge ratio. Can be a single number, or a
   vector of same length as data.}
@@ -42,17 +44,25 @@
   column.
 }
 \description{
-  It will try to get data for \code{prod1} and \code{prod2}
-  from .GlobalEnv. If it cannot find the data, it will get
-  it with a call to getSymbols.
+  Given 2 products, calculate spread values for as many
+  columns as practicable
 }
 \details{
-  Prices are multiplied by multipliers and exchange rates
-  to get notional values in the currency specified. The
-  second leg's notional values are multiplied by the ratio.
-  Then the difference is taken between the notionals of
-  leg1 and the new values for leg2.
+  \code{prod1} and \code{prod2} can be the names of
+  instruments, or the xts objects themselves.
+  Alternatively, \code{prod2} can be omitted, and a vector
+  of 2 instrument names can be given to \code{prod1}. See
+  the last example for this usage.
 
+  It will try to get data for \code{prod1} and \code{prod2}
+  from .GlobalEnv. If it cannot find the data, it will get
+  it with a call to getSymbols. Prices are multiplied by
+  multipliers and exchange rates to get notional values in
+  the currency specified. The second leg's notional values
+  are multiplied by the ratio. Then the difference is taken
+  between the notionals of leg1 and the new values for
+  leg2.
+
   \sQuote{make.index.unique} uses the xts function
   \code{make.index.unique} \sQuote{least.liq} subsets the
   spread time series, by using the timestamps of the leg
@@ -75,6 +85,12 @@
 
 fSB3 <- fn_SpreadBuilder("SPY","DIA",1.1) #assuming you first somehow calculated the ratio to be a constant 1.1
 head(fSB)
+
+# Call fn_SpreadBuilder with vector of 2 instrument names
+# in 1 arg instead of using both prod1 and prod2.
+fSB4 <- fn_SpreadBuilder(c("SPY","DIA"))
+#download data and plot the closing values of a spread in one line
+chartSeries(Cl(fn_SpreadBuilder(getSymbols(c("SPY","DIA")))))
 }
 }
 \author{