Jon Trowbridge said:
> I mentioned this issue before, but I'll mention it again:
>
> I'd like to use whatever library comes out of this for storing
> historical price data for various financial instruments. Certain
> of these have changed "denominator" over time.
>
> For example, certain UK Govt Bonds have decimalized recently. They
> were previously quoted in 32nds, and are now quoted in 100ths. This
> is particularly annoying, since you can't convert old prices to new
> without loss of precision (i.e. 1/32 = 0.03125 = 3/100 + error).
>
> In the "BG" scheme, I can store historical prices as
> (price, 32, Gilts) or (price, 100, Gilts), with both being treated as
> the same basic sort of thing. This is very convenient for doing a
> longer-term analysis.
>
> In the "RW" scheme, I have to store them as (price, Gilts_32) and
> (price, Gilts_100), and I have to know that Gilts_32 and Gilts_100 are
> different "commodities" only in the sense that they are quoted in
> different terms, and that the true price history of these particularly
> UK Govt Bonds come from concatenating the Gilt_32 and Gilt_100 price
> series. This is certainly not undoable, but it is a pain.
And in the "BB" scheme (that I posted a few days ago), you would store them
as
(price*32, 32 Gilts) and (price*100, 100 Gilts). For example, (UKP103, 32
Gilts) means
that 103 Pounds will buy 32 Gilts.
There are other histories that need to be recorded as well. I can't see how
-any- of the
approaches suggested so far would deal with recording historical prices of
stocks that are subject to stock splits.
Of course, in the "RW" scheme, stock splits and currency decimalization
would be
the same problem: the true price history would come from conctenating two
price
histories in two different "commodities" with a fixed relationship between
them..
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