[Blotter-commits] r757 - pkg/FinancialInstrument/R

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

Author: gsee
Date: 2011-09-07 15:33:44 +0200 (Wed, 07 Sep 2011)
New Revision: 757

Modified:
   pkg/FinancialInstrument/R/instrument.R
   pkg/FinancialInstrument/R/parse_id.R
Log:
 - avoid creating exchange_rates with same 1st and 2nd ccy. (dont make USDUSD if USD is passed as both currency and counter_currency)
 - suppress some unnecessary warnings in parse_id/parse_suffix


Modified: pkg/FinancialInstrument/R/instrument.R
===================================================================
--- pkg/FinancialInstrument/R/instrument.R	2011-09-06 23:19:23 UTC (rev 756)
+++ pkg/FinancialInstrument/R/instrument.R	2011-09-07 13:33:44 UTC (rev 757)
@@ -566,6 +566,8 @@
   # exchange_rate_temp = instrument(primary_id , currency , multiplier=1 , tick_size=.01, identifiers = identifiers, ..., type="exchange_rate")
   if (is.null(primary_id) && !is.null(currency) && !is.null(counter_currency)) {
     primary_id <- c(outer(counter_currency,currency,paste,sep=""))
+    same.same <- function(x) substr(x,1,3) == substr(x,4,6)
+    primary_id <- primary_id[!same.same(primary_id)]
   } else if (is.null(primary_id) && (is.null(currency) || is.null(counter_currency))) 
     stop("Must provide either 'primary_id' or both 'currency' and 'counter_currency'")
   if (length(primary_id) > 1) return(unname(sapply(primary_id, exchange_rate, identifiers=identifiers, ...=...)))

Modified: pkg/FinancialInstrument/R/parse_id.R
===================================================================
--- pkg/FinancialInstrument/R/parse_id.R	2011-09-06 23:19:23 UTC (rev 756)
+++ pkg/FinancialInstrument/R/parse_id.R	2011-09-07 13:33:44 UTC (rev 757)
@@ -65,16 +65,16 @@
         if (!silent) 
             warning("id of future_series should have an underscore in it. Trying to parse anyway.")
         if (nchar(x) < 9 && !hasdot) { #assume it's a future like ESU1 or ESU11
-            if (!is.null(parse_suffix(substr(x,3,nchar(x)))) && 
-                    !is.na(parse_suffix(substr(x,3,nchar(x)))$format)) {
+            if (suppressWarnings(!is.null(parse_suffix(substr(x,3,nchar(x)))) && 
+                    !is.na(parse_suffix(substr(x,3,nchar(x)))$format))) {
                 root <- substr(x,1,2)
                 suffix <- substr(x,3,nchar(x))
-            } else if (!is.null(parse_suffix(substr(x,4,nchar(x)))) && 
-                    !is.na(parse_suffix(substr(x,4,nchar(x)))$format)) {
+            } else if (suppressWarnings(!is.null(parse_suffix(substr(x,4,nchar(x)))) && 
+                    !is.na(parse_suffix(substr(x,4,nchar(x)))$format))) {
                 root <- substr(x,1,3)        
                 suffix <- substr(x,4,nchar(x))
-            } else if (!is.null(parse_suffix(substr(x,2,nchar(x)))) && 
-                    !is.na(parse_suffix(substr(x,2,nchar(x)))$format)) {
+            } else if (suppressWarnings(!is.null(parse_suffix(substr(x,2,nchar(x)))) && 
+                    !is.na(parse_suffix(substr(x,2,nchar(x)))$format))) {
                 root <- substr(x,1,1)
                 suffix <- substr(x,2,nchar(x))
             } else if (nchar(x) <= 3) {
@@ -239,16 +239,16 @@
         year <- suff$year
         format <- paste('xx', suff$format, sep="")
     } else if (nchar(x) == 2) { #U1
-        if (substr(x,1,1) %in% M2C() && !is.na(as.numeric(substr(x,2,2)))) {
+        if (substr(x,1,1) %in% M2C() && !is.na(suppressWarnings(as.numeric(substr(x,2,2))))) {
             type <- c("outright","future")
             month <- toupper(C2M(substr(x,1,1)))
             year <- as.numeric(substr(x,2,2)) + 2010
             if (!silent)
                 warning("Converting 1 digit year to 4 digit year assumes there are no futures before 2010")
             format <- 'CY'
-        } else if (is.na(as.numeric(x))) type <- 'root'
+        } else if (suppressWarnings(is.na(as.numeric(x)))) type <- 'root'
     } else if (nchar(x) == 3) { #U11
-        if (substr(x,1,1) %in% M2C() && suppressWarnings(!is.na(as.numeric(substr(x,2,3))))) {
+        if (substr(x,1,1) %in% M2C() && !is.na(suppressWarnings(as.numeric(substr(x,2,3))))) {
             type <- c("outright","future")
             month <- toupper(C2M(substr(x,1,1)))
             year <- as.numeric(substr(x,2,3)) + 2000
@@ -258,7 +258,7 @@
             format <- 'CYY'
         } else type <- 'root'
     } else if (nchar(x) == 4) { #SEP1, VXU1, 0911
-        if (toupper(substr(x, 1, 3)) %in% toupper(C2M()) && !is.na(as.numeric(substr(x,4,4)))) { 
+        if (toupper(substr(x, 1, 3)) %in% toupper(C2M()) && !is.na(suppressWarnings(as.numeric(substr(x,4,4))))) { 
             #sep1, Sep1, SEP1
             suff <- paste(M2C(tolower(substr(x,1,3))), substr(x,4,4), sep="") #convert from Sep1 to U1
             out <- parse_suffix(suff,silent=silent) #call recursively with 2 character suffix