[R-SIG-Finance] Possible bug in blotter

[Wolfgang Wu]

I don't fully understand the code but the following patch fixes the problem for 
me. 


 tmpPL$Con.Mult.1 <- na.locf(tmpPL$Con.Mult.1)
 tmpPL$Con.Mult.1 <- ifelse(is.na(tmpPL$Con.Mult) & !is.na(tmpPL$Con.Mult.1) , 
tmpPL$Con.Mult.1, tmpPL$Con.Mult)
 tmpPL$Con.Mult <- na.locf(tmpPL$Con.Mult)
+tmpPL$Con.Mult <- na.locf(tmpPL$Con.Mult, fromLast=TRUE)
 tmpPL$Con.Mult <- ifelse(is.na(tmpPL$Con.Mult) ,1, tmpPL$Con.Mult)

There might be a more elegant solution however as I think it might be this bit 
of code quickly assumes that the multiplier is 1 when is.na == true

 tmpPL$Con.Mult <- ifelse(is.na(tmpPL$Con.Mult) ,1, tmpPL$Con.Mult) 

 Wolfgang Wu



----- Ursprüngliche Mail ----
Von: Brian G. Peterson <brian at braverock.com>
An: r-sig-finance at r-project.org
Gesendet: Mittwoch, den 22. Dezember 2010, 13:43:24 Uhr
Betreff: Re: [R-SIG-Finance] Possible bug in blotter

On 12/22/2010 04:30 AM, Wolfgang Wu wrote:
> thank you for the explanation. I understand this now. However consider a
> different example where the security is now a futures contract with a 
>multiplier
> of 2. Then blotter will produce a wrong End.Eq. (See example code) I suspect 
>the
> Con.Mult column in the first row of the portfolio object is set wrongly and is
> causing the problem.  Would you agree?

The first row doesn't have anything to do with it.  That row has a zero value, 
and is only there to initialize things.

It does appear that your example highlights a problem in the multiplier being 
applied to one of the Avg.Cost columns in the $posPL slot.

We'll investigate and fix.  Thanks for the report.

Regards,

  - Brian

-- Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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