Package: etrm 1.0.2

etrm: Energy Trading and Risk Management

Provides a collection of functions to perform core tasks within Energy Trading and Risk Management (ETRM). Calculation of maximum smoothness forward price curves for electricity and natural gas contracts with flow delivery, as presented in F. E. Benth, S. Koekebakker, and F. Ollmar (2007) <doi:10.3905/jod.2007.694791> and F. E. Benth, J. S. Benth, and S. Koekebakker (2008) <doi:10.1142/6811>. Portfolio insurance trading strategies for price risk management in the forward market, see F. Black (1976) <doi:10.1016/0304-405X(76)90024-6>, T. Bjork (2009) <https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742>, F. Black and R. W. Jones (1987) <doi:10.3905/jpm.1987.409131> and H. E. Leland (1980) <http://www.jstor.org/stable/2327419>.

Authors:Anders D. Sleire

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Bug tracker:https://github.com/sleire/etrm/issues

On CRAN:

commoditiesenergy-tradingrisk-managementtrading-strategies

9 exports 31 stars 2.47 score 33 dependencies 10 scripts 253 downloads

Last updated 2 years agofrom:8c9365ad5a. Checks:OK: 7. Indexed: yes.

Exports:cppidppimsfcobpiplotshowshpislpisummary

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigplyrR6RColorBrewerRcppreshape2rlangscalesstringistringrtibbleutf8vctrsviridisLitewithr