CODEWITHSUNDEEP
rquantmodforexfinancialinstrument
mr.T
mr.T

Reputation: 634

convert P&L in points to USD FinancialInstrument package

I have several currency pairs, not necessarily downloaded from online resources, it could be a regular file from disk, but for simplicity of the example and reproducibility I will download from the network.

library(quantmod)
getSymbols("AUD/CAD",src="oanda",from="2024-01-01")
getSymbols("CAD/CHF",src="oanda",from="2024-01-01")
getSymbols("USD/JPY",src="oanda",from="2024-01-01")

Now let’s calculate a simple “buy and hold” strategy in points

# buy and hold P&L in points
BH_AUDCAD <- AUDCAD - c(coredata(AUDCAD[1]))
BH_CADCHF <- CADCHF - c(coredata(CADCHF[1]))
BH_USDJPY <- USDJPY - c(coredata(USDJPY[1]))

Now I would like to calculate p&l in USD but I’m a little confused and don’t know how to do it correctly

library(FinancialInstrument)
currency(c("AUD", "CAD", "CHF", "USD", "JPY"))
stock(c("AUDCAD", "CADCHF", "USDJPY"), currency="USD")

PnL_USD_AUDCAD <-    ....
PnL_USD_CADCHF <-    ....
PnL_USD_USDJPY <-    ....

Upvotes: 0

Views: 16

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