futures-data(schwartz97)
futures-data()所属R语言包：schwartz97
Daily futures prices
每日期货价格
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Futures prices, time to maturity, open interest, volume, underlying tickers, and last trade date of ten different commoditites: corn, wheat, soybean, soybean meal, soybean oil, lumber, live cattle, coffee, heating oil, copper.
期货价格，到期时间，持仓量，成交量，基本引号，以及10个不同的commoditites：玉米，小麦，大豆，豆粕，豆油，锯材，活牛，咖啡机，取暖油，铜的最后交易日。
There are, depending on the liquidity of the commodity, between 4 and 10 "clean" closest to maturity futures price series.
还有，根据对流动性的商品，在4和10之间最接近的干净至到期的期货价格序列。
用法----------Usage----------
data(futures)
格式----------Format----------
A list containing ten commodities as lists: “corn”, “wheat”, “soybean”, “soybean.meal”, “soybean.oil”, “lumber”, “live.cattle”, “coffee”, “heating.oil”, “copper”. <br>
列出一个列表，其中包含10商品：“玉米”，“小麦”，“大豆”中，“soybean.meal”中，“soybean.oil”，“木材”中，“live.cattle”，“咖啡“，”heating.oil“，”铜“。参考
Each list contains six dimnamed matrices:
每一个列表包含六个dimnamed的矩阵：
price Daily futures prices.
price每日期货价格。
ttm The time to maturity of the futures contracts
ttm的时间至到期日的期货合约
oi Open interest.
oi未平仓合约。
vol Volume.
vol卷。
underl.tickers Underlying tickers / contracts.
underl.tickers相关引号/合同。
last.trade.dt Last trade date as character in the ISO
last.trade.dt最后交易日为字符在ISO
The i-th column of each matrix contains data for the i-th closest to maturity contract. The i-th column name is the ticker of the i-th generic futures.
每个矩阵的第i列中包含的数据的第i个最接近到期合同。第i列名的第i个通用期货，股票。
Details
详细信息----------Details----------
The elements of price and ttm have the following interpretation: price[i,j] denotes the futures price whose time to maturity was ttm[i,j] days when it was observed.
的元素price和ttm有如下解释：price[i,j]表示，期货价格的时间，到期日为ttm[i,j]天，当它被观察到。
（作者）----------Author(s)----------
Philipp Erb, David Luethi, Juri Hinz
参见----------See Also----------
futuresplot, fit.schwartz2f.
futuresplot，fit.schwartz2f。
实例----------Examples----------
data(futures)
## Plot forward curves of lumber[号地的木材远期曲线]
futuresplot(futures$lumber, type = "forward.curve")
## Plot time to maturity of heating oil data[＃图的时间来成熟的取暖油数据]
futuresplot(futures$heating.oil, type = "ttm")
## Make 'futures' weekly, take Wednesday data[＃“期货”每周，周三数据]
futures.w <- rapply(futures, function(x)x[format(as.Date(rownames(x)), "%w") == 3,],
classes = "matrix", how = "list")
## Make 'futures' monthly, take the 28th day of the month[＃使“期货”每月，28月的一天]
futures.m <- rapply(futures, function(x)x[format(as.Date(rownames(x)), "%d") == 28,],
classes = "matrix", how = "list")
## Plot weekly lumber and monthly soybean data[＃图每周的木材，每月的大豆数据]
futuresplot(futures.w$lumber, type = "forward.curve", main = "Lumber")
futuresplot(futures.m$soybean, type = "forward.curve", main = "Soybean")
## Not run: [＃不运行：]
## Convert to zoo-objects:[＃转换到动物园的对象：]
require(zoo)
futures.zoo <- rapply(futures, function(x)zoo(x, as.Date(rownames(x))),
classes = "matrix", how = "list")
## ...and plot it nicely using plot.zoo:[＃...并把它标绘，很好用plot.zoo：]
plot(futures.zoo$heating.oil$ttm)
plot(futures.zoo$wheat$vol)
plot(futures.zoo$copper$oi)
## End(Not run)[＃（不执行）]
## Estimate soybean meal parameters (stop after 100 iterations).[＃估计的豆粕参数（100次迭代后停止）。]
## ttm (time-to-maturity) is divided by 260 as it is in unit of days and[TTM（至到期日的时间）除以260，因为它以天为单位，]
## deltat = 1/52 because weekly price observations are used.[＃则DeltaT = 1/52，因为每周价格观察。]
soybean.meal.fit <- fit.schwartz2f(data = futures.w$soybean.meal$price,
ttm = futures.w$soybean.meal$ttm / 260,
deltat = 1 / 52, r = 0.04,
control = list(maxit = 100))
soybean.meal.fit
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-29 22:53:28
