Forum: help

RE: Expiring instruments in R blotter [ Reply ]
By: Brian Peterson on 2015-03-27 13:18

First, FinancialInstrument is extensible by design. Adding an expiration or maturity date is as simple as passing those attributes when you create your instruments.

Josh is correct that you need to create transactions. If you're holding the portfolio, your broker will hopefully receive cash and deposit it in your account. In blotter, that would be a closing of the bond position for par, presumably. Of course, there are many kinds of bonds, and they do not always mature at par, so doing this automatically isn't really possible.

We would certainly welcome collaboration from someone with a real bond portfolio to extend the utilities and helper functions available in blotter. Most of what I do personally is in other asset classes, so we'd want a collaborator in cash bonds before spending a lot of time extending functionality there.

Brian

RE: Expiring instruments in R blotter [ Reply ]
By: Joshua Ulrich on 2015-03-27 11:39

[forum:42111]

I suspect you're the same person who asked this question on stackoverflow:
http://stackoverflow.com/q/29296190/271616

Even if you're not, my answer (http://stackoverflow.com/a/29298823/271616) also applies to this question:
'No, blotter portfolios will not be automatically updated when an instrument matures, expires, etc. It's the user's responsibility to provide all necessary transactions to "close" a position.'

Expiring instruments in R blotter [ Reply ]
By: Nick L on 2015-03-26 17:08

[forum:42109]

I am trying to track a portfolio of bonds over time.

I have added my instruments using FinancialInstrument::bond and transact in them using blotter::addTxn.

However, it is not clear how matured bonds are handled, if at all.

When I get my positions after time t, will blotter remove any positions in bonds that have matured after t?

I was unable to find a maturity date option in FinancialInstrument::bond for this.

Thanks