Hi guys, The last row in redenominate() function in the FinancialInstrument package is: buildRatio(c(symbol, rsym), env = tmpenv, silent = TRUE)/mult Why does it divide by the multiplier? I'd rather multiply it to get the notional amount of the contract expressed in the other currency. Let's say I'm trying to redenominate the NIY (Nikkei 225 Futures in JPY) in USD: 2004-03-10: USDJPY.Close = 110.8 2004-03-10: NIY.Close = 10365 Multiplier = 500 The new USD notional amount of the contract should be: NI.USD = (10365 / 110.8) * 500 = 46773.47 USD Instead, using redenominate() I get: NI.USD = (10365 / 110.8) / 500 = 0.1870939 USD So my suggestion is to replace "buildRatio(c(symbol, rsym), env = tmpenv, silent = TRUE)/mult" by "buildRatio(c(symbol, rsym), env = tmpenv, silent = TRUE) * mult" Am I right, or...? Thanks! Markus Douglas, Jr. -- View this message in context: http://r.789695.n4.nabble.com/Redenominate-function-in-FinancialInstrument-tp4079196p4079196.html Sent from the Rmetrics mailing list archive at Nabble.com.
Redenominate function in FinancialInstrument
1 message · varcovar