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

etrm_1.0.2.tar.gz
etrm_1.0.2.zip(r-4.5)etrm_1.0.2.zip(r-4.4)etrm_1.0.2.zip(r-4.3)
etrm_1.0.2.tgz(r-4.5-any)etrm_1.0.2.tgz(r-4.4-any)etrm_1.0.2.tgz(r-4.3-any)
etrm_1.0.2.tar.gz(r-4.5-noble)etrm_1.0.2.tar.gz(r-4.4-noble)
etrm_1.0.2.tgz(r-4.4-emscripten)etrm_1.0.2.tgz(r-4.3-emscripten)
etrm.pdf |etrm.html✨
etrm/json (API)
NEWS

# Install 'etrm' in R:
install.packages('etrm', repos = c('https://sleire.r-universe.dev', 'https://cloud.r-project.org'))

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

Datasets:
  • powcal - Historical daily closing prices for 11 calendar year power futures contracts
  • powfutures130513 - Closing prices for power futures contracts at trading date 2013-05-13
  • powpriors130513 - Example priors at trading date 2015-05-13

On CRAN:

Conda:

commoditiesenergy-tradingrisk-managementtrading-strategies

5.52 score 33 stars 10 scripts 224 downloads 9 exports 33 dependencies

Last updated 2 years agofrom:8c9365ad5a. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 11 2025
R-4.5-winOKMar 11 2025
R-4.5-macOKMar 11 2025
R-4.5-linuxOKMar 11 2025
R-4.4-winOKMar 11 2025
R-4.4-macOKMar 11 2025
R-4.4-linuxOKMar 11 2025
R-4.3-winOKMar 11 2025
R-4.3-macOKMar 11 2025

Exports:cppidppimsfcobpiplotshowshpislpisummary

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigplyrR6RColorBrewerRcppreshape2rlangscalesstringistringrtibbleutf8vctrsviridisLitewithr

Maximum Smoothness Forward Curve

Rendered frommsfc_forward_curve.Rmdusingknitr::rmarkdownon Mar 11 2025.

Last update: 2021-06-16
Started: 2020-09-14

Portfolio Insurance Trading Strategies

Rendered fromportfolio_insurance_strategies.Rmdusingknitr::rmarkdownon Mar 11 2025.

Last update: 2021-06-17
Started: 2021-06-17