[R-SIG-Finance] Ques regarding price conversion to 32nds

[Gandhi, Puneet - RSCH AMRS]

 I apologies for not being clear enough with my query. My requirement is to see Treasury prices not 32 fractions. Treasury Prices have '+' and other things.

Actually I have VBA code for it

Function TO_32(BondPrice As Variant) As String

    Dim handle As Double
    Dim x As Double
    Dim y As Double
    Dim r As Double
    Dim thirtyTwos As Integer
    Dim twoFiftySixths As Integer
    Dim eighths As Integer
    Dim ch As String
    Dim bp As Double
    
    Const tol = 256
    
    On Error GoTo errHandler
    
    If IsArray(BondPrice) Then
        bp = CDbl(BondPrice(1))
    Else
        bp = CDbl(BondPrice)
    End If
    
    handle = Int(bp)
    r = (bp - handle) * 256
    twoFiftySixths = Int(r + 0.5)
    thirtyTwos = Int(twoFiftySixths / 8)
    eighths = twoFiftySixths - 8 * thirtyTwos
    Select Case eighths
    Case 0
        ch = ""
    Case 4
        ch = "+"
    Case Else
        ch = CStr(eighths)
    End Select
    ' correct for big figure rounding issues
    If thirtyTwos = 32 Then
        handle = handle + 1
        thirtyTwos = 0
    End If
1
    TO_32 = CStr(handle) & "-" & Format(thirtyTwos, "0#") & ch
    Exit Function
    
errHandler:
    TO_32 = "#Bad Price"
    
End Function

Function FROM_32(s As Variant) As Variant

    Dim handleStr As String
    Dim remStr As String
    Dim fracStr As String
    Dim ch As String
    Dim i As Integer
    Dim slen As Integer
    Dim rlen As Integer
    Dim frac As Double
    Dim remain As Double
    Dim handle As Double
    
    On Error GoTo errHandler
    
    slen = Len(s)
    ch = ""
    For i = 1 To slen
        ch = mid(s, i, 1)
        If ch = "-" Then Exit For
    Next i
    If (Not ch = "-") Or (i > (slen - 2) Or (i < 2)) Then
        FROM_32 = "#Bad Input Format"
        Exit Function
    End If
    
    handleStr = mid(s, 1, i - 1)
    rlen = slen - i
    Select Case rlen
    Case 2
        remStr = mid(s, i + 1, slen - i)
        fracStr = "0"
    Case 3
        remStr = mid(s, i + 1, slen - i - 1)
        fracStr = Right(s, 1)
        If fracStr = "+" Then fracStr = "4"
    End Select
        
    handle = CDbl(handleStr)
    remain = CDbl(remStr)
    frac = CDbl(fracStr)
    
    FROM_32 = handle + remain / 32# + frac / 256#
    Exit Function
    
errHandler:
    FROM_32 = "#Bad Conversion"
    
End Function




Can you point me to a package/function on conversion of Decimal Prices to Bond prices whbich gives this '+' and everything

-----Original Message-----
From: Pierre Lapointe [mailto:pierrelap at gmail.com] 
Sent: Wednesday, September 01, 2010 6:46 PM
To: Gandhi, Puneet - RSCH AMRS
Cc: Joshua Ulrich; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Ques regarding price conversion to 32nds

Thanks,

So here's the full function to convert fractions to decimals

#Fractions to decimals
x <- c("2 1/32","7 7/32","4 27/32")

dec.fun <-function(x){
my.split<-strsplit(x," ")
my.mat <-matrix(unlist(my.split),,2,byrow=TRUE)
my.eval <-function(y){
eval(parse(text=paste(y,collapse="+")))
}
apply(my.mat,1,my.eval)
}

dec.fun(x)

This will need work if you feed it data.frames or matrices. And it
does not work if there is no integer, only a fraction. But you get the
idea...

HTH

Pierre


On Wed, Sep 1, 2010 at 6:15 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>
> Here's the answer to the second part, using the results from Pierre's email:
>
> > eval(parse(text=paste(my.split[[1]],collapse="+")))
> [1] 2.03125
>
> Best,
> --
> Joshua Ulrich
> FOSS Trading: www.fosstrading.com
>
>
> On Wed, Sep 1, 2010 at 5:09 PM, Pierre Lapointe <pierrelap at gmail.com> wrote:
> > Here's the answer to the first part of your question:
> >
> > #Decimals to fractions
> > frac.fun <- function(x, den){
> > dec <- seq(0, den) / den
> > nams <- paste(seq(0, den), den, sep = "/")
> > sapply(x, function(y) nams[which.min(abs(y - dec))])
> > }
> >
> > frac.fun(c(0, 1, 0.8266667, .066666, 0.2666666,0.03125), 32)
> >
> > To convert from fraction to decimal, I would strsplit numbers in two parts,
> > one integer and one fraction.
> >
> > #Fractions to decimals
> > x <- c("2 1/32","3 7/32","4 27/32")
> > my.split<-strsplit(x," ")
> >
> > However, I do not know how to convert a "1/32" caracter string to numeric.
> >
> > Pierre
> >
> >
> > On Wed, Sep 1, 2010 at 5:22 PM, Gandhi, Puneet - RSCH AMRS <
> > p.gandhi at baml.com> wrote:
> >
> >>
> >>
> >>
> >> Hi,
> >>
> >> Can any one point me to a function which converts prices in decimals to
> >> 32nds and vice versa.
> >>
> >> Thanks
> >> Puneet
> >>
> >> ----------------------------------------------------------------------
> >> This message w/attachments (message) is intended solely ...{{dropped:7}}
> >>
> >> _______________________________________________
> >> R-SIG-Finance at stat.math.ethz.ch mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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> >> -- Also note that this is not the r-help list where general R questions
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> >>
> >
> >        [[alternative HTML version deleted]]
> >
> > _______________________________________________
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> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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> > -- Also note that this is not the r-help list where general R questions should go.
> >

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