[Blotter-commits] r1201 - pkg/blotter/R

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

Author: braverock
Date: 2012-09-29 23:59:04 +0200 (Sat, 29 Sep 2012)
New Revision: 1201

Modified:
   pkg/blotter/R/updatePosPL.R
Log:
- correctly handle multi-column xts FXrate per R-SIG-finance report from Worik Stanton

Modified: pkg/blotter/R/updatePosPL.R
===================================================================
--- pkg/blotter/R/updatePosPL.R	2012-09-29 17:43:36 UTC (rev 1200)
+++ pkg/blotter/R/updatePosPL.R	2012-09-29 21:59:04 UTC (rev 1201)
@@ -163,7 +163,7 @@
 				warning("Currency",p.ccy.str," not found, using currency multiplier of 1")
 				CcyMult<-1
 			} else { #convert from instr ccy to portfolio ccy
-				FXrate.str<-paste(tmp_instr$currency, p.ccy.str, sep='') # currency quote convention is EURUSD which reads as "USD per EUR"
+				FXrate.str<-paste(tmp_instr$currency, p.ccy.str, sep='') # currency quote convention is EURUSD which reads as "USD per EUR" or "EUR quoted in USD"
 				FXrate<-try(get(FXrate.str), silent=TRUE)
 				#TODO FIXME: this uses convention to sort out the rate, we should check $currency and $counter_currency and make sure directionality is correct 
 				if(inherits(FXrate,"try-error")){
@@ -185,7 +185,8 @@
 	}
 	if(is.na(CcyMult) && !is.na(FXrate)) {
 		if(inherits(FXrate,'xts')){
-			CcyMult <- FXrate[dateRange]
+            if(ncol(FXrate)>1) CcyMult <- getPrice(FXrate[dateRange],...)
+			else CcyMult <- FXrate[dateRange]
 			CcyMult <- na.locf(merge(CcyMult,index(TmpPeriods)))
 			CcyMult <- drop(CcyMult[index(TmpPeriods)])
 		} else {