Stack Overflow
Stack Overflow

Questions tagged [financialinstrument]

15 questions
13
votes
2 answers

Is there a general manual for the R packages, "quantstrat","blotter","FinancialInstrument" etc. other than the function help files and demos?

I'd like to learn how to use these packages, but I cannot seem to find any vignettes that offer something other than extensive code snippets. I'd like to learn about how they all fit together and something akin to a "walk through". I've found some…
n.e.w
  • 1,128
  • 10
  • 23
3
votes
0 answers

Multicurrency strategy - Blotter & Quantstrat

I would want to rebound on this thread http://r.789695.n4.nabble.com/Multi-currency-example-for-blotter-td1692132.html Basically, I'm backtesting a strategy using quantstrat where I have instruments in several currencies but I would want an…
NicolasB
  • 83
  • 5
2
votes
1 answer

Simple American Option Pricing via Monte Carlo Simulation in R - Results are too high

I am more of a novice in R and have been trying to built a formula to price american type options (call or put) using a simple Monte Carlo Simulation (no regressions etc.). While the code works well for European Type Options, it appears to overvalue…
novice1337
  • 21
  • 2
2
votes
1 answer

How to get current "symbol" inside custom function when applyIndicators or applyStrategy in quantstrat

i would like to access the current symbol string eg "GOOG" inside my custom indicator function. Here is the most basic example i could make. require(quantstrat) Sys.setenv(TZ="UTC") symbols <- c("GOOG", "AAPL") getSymbols(symbols,…
GeV 126
  • 351
  • 1
  • 3
  • 14
2
votes
1 answer

R: Quantstrat TxnFees Multiplier

I am trying to run a backtesting strategy in R's Quantstrat package. The instrument is Wheat futures and is quoted in US cents. The contract size is 5000 bushels. I have therefore added the following code. future(symbols, currency = "USD", …
youjustreadthis
  • 622
  • 3
  • 9
  • 24
2
votes
1 answer

R - FinancialInstrument Package Changing Symbol Names when using stock

I'm currently in the process of building a strategy using quantstrat/blotter. The price data that I'm using uses numbers as the security identifiers and these numbers are therefore the column names as well as what I use for the synbol names in…
user6893
  • 143
  • 1
  • 2
  • 9
2
votes
1 answer

How to setup futures instruments in FinancialInstrument to lookup data from CSIdata

Background I am trying to setup my trade analysis environment. I am running some rule based strategies on futures on different brokers and trying to aggregate trades from different brokers in one place. I am using blotter package as my main tool for…
CHP
  • 16,981
  • 4
  • 38
  • 57
1
vote
1 answer

Pricing a Forward Rate Agreement using QuantLib Python

Can someone please help with the pricing of the following forward rate agreement using QuantLib Python? A 3x6 forward rate agreement, with a notional of $100,000, the FRA rate being 6%, The FRA settlement date is after 3 months (90 days) and the…
ql.user2511
  • 369
  • 2
  • 12
1
vote
1 answer

Exporting FinancialInstrument:::.instrument to foreach workers and unpacking it

I am doing some parallel processing and need to access instrument properties from FinancialInstrument:::.instrument environment at each worker spawned by parallel processing. Simple instrument.list <- as.list(FinancialInstrument:::.instrument) and…
Samo
  • 2,065
  • 20
  • 41
0
votes
0 answers

Difference between Clean Price, Dirty Price and NPV using QuantLib Python

I used QuantLib Python to price a fixed rate bond. I used ql.ActualActual(ql.ActualActual.ISMA, schedule) to ensure that cash flows are the same for each coupon payment period. For discounting, I used ql.Actual360() as day count convention. My codes…
ql.user2511
  • 369
  • 2
  • 12
0
votes
1 answer

AlphaVantage API Technical Indicators: Do they use only information of the past?

I am writing because I found no public documentation or code to solve this doubt. I have been using the AlphaVantage APIs for a project about stock markets prediction with Machine Learning. I have been using a lot of technical indicators of the…
Alessandro Baldo
  • 1
0
votes
1 answer

Instantly update fields of forms - Django

I am still on the way to learning Django. I am going to create an app. That would essentially be an instant financial ratios calculator. Which would comprise of various forms (say like Loan calculations, Mortgage calculations, interest calculations,…
G.Jan
  • 132
  • 2
  • 10
0
votes
1 answer

How to discount Cashflows with variable discount rates and sum all cashflows

I am trying to price a bond that will pay coupons (c) semiannually for 4 years (which means 8 coupon payments in total) and return the principal (p) amount along with the 8th payment (c+p). The discount rate (dr) to discount each cashflows will be…
Fin123
  • 1
  • 1
0
votes
2 answers

Instrument objects in R's `FinancialInstrument` package. `ls(envir=FinancialInstrument:::.instrument)`

I'd like to load one of my xts object as financial instrument in my environment (vs. getting the symbols from yahoo, google, etc) but I can't. My xts is a EURUSD daily OHLC series. ls(envir=FinancialInstrument:::.instrument) is giving me : [1] "IWM"…
Olivier.S
  • 15
  • 5
-1
votes
1 answer

R: FinancialInstrument initialize cross currency instrument not working

I want to initialize a curreny pair using FinancialInstrument. The data contains exchange rates for a certain currency pair (e.g. USD_CHF, USD_EUR etc.). But this doesn't work, why? > currency("USD") [1] "USD" >…
MichiZH
  • 5,587
  • 12
  • 41
  • 81