[Blotter-commits] r648 - pkg/FinancialInstrument/R

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

Author: braverock
Date: 2011-06-29 15:06:12 +0200 (Wed, 29 Jun 2011)
New Revision: 648

Added:
   pkg/FinancialInstrument/R/CalendarUpdate.R
Log:
- initial revision of symbol expansion based on month_cycle and dates

Added: pkg/FinancialInstrument/R/CalendarUpdate.R
===================================================================
--- pkg/FinancialInstrument/R/CalendarUpdate.R	                        (rev 0)
+++ pkg/FinancialInstrument/R/CalendarUpdate.R	2011-06-29 13:06:12 UTC (rev 648)
@@ -0,0 +1,43 @@
+#' construct a series of symbols based on root symbol and suffix letters
+#'  
+#' The columns needed by this version of the function are \code{primary_id} 
+#' and \code{month_cycle}. \code{primary_id} should match the \code{primary_id} 
+#' of the instrument describing the root contract. 
+#' \code{month_cycle} should contain a comma delimited string describing the 
+#' month sequence to use, e.g. \code{"F,G,H,J,K,M,N,Q,U,V,X,Z"} for all months
+#' using the standard futures letters, or \code{"H,M,U,Z"} for quarters, or 
+#' \code{"Mar,Jun,Sep,Dec"} for quarters as three-letter month abbreviations, etc.  
+#' The correct values will vary based on your data source.
+#' 
+#' @param yearlist vector of year suffixes to be applied, see Details
+#' @param roots data.frame containing ate least columns \code{primary_id} and \code{month_cycle}, see Details
+#' @returnType 
+#' @return 
+#' @author Brian G. Peterson
+#' @export
+#' TODO: add more flexibility in input formats for \code{roots}
+build_series_symbols <- function(roots, yearlist=c(0,1)) {
+	symbols<-''
+	id_col<-grep('primary_id',colnames(roots)) #TODO: check length
+	date_col<-grep('month_cycle',colnames(roots)) #TODO: check length
+	for (year_code in yearlist){
+		for(i in 1:nrow(roots)) { 
+			symbols <- c(symbols, paste(paste(roots[i,id_col], strsplit(as.character(roots[i,date_col]),",")[[1]],sep=''),year_code,sep='')) 
+		}
+	}
+	return(symbols[-1])
+}
+
+###############################################################################
+# R (http://r-project.org/) Instrument Class Model
+#
+# Copyright (c) 2009-2011
+# Peter Carl, Lance Levenson, Brian G. Peterson 
+#
+# This code is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
+


Property changes on: pkg/FinancialInstrument/R/CalendarUpdate.R
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