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-4.4-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'))

Peer review:

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:

commoditiesenergy-tradingrisk-managementtrading-strategies

5.51 score 32 stars 10 scripts 230 downloads 9 exports 33 dependencies

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

TargetResultDate
Doc / VignettesOKNov 11 2024
R-4.5-winOKNov 11 2024
R-4.5-linuxOKNov 11 2024
R-4.4-winOKNov 11 2024
R-4.4-macOKNov 11 2024
R-4.3-winOKNov 11 2024
R-4.3-macOKNov 11 2024

Exports:cppidppimsfcobpiplotshowshpislpisummary

Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigplyrR6RColorBrewerRcppreshape2rlangscalesstringistringrtibbleutf8vctrsviridisLitewithr

Maximum Smoothness Forward Curve

Rendered frommsfc_forward_curve.Rmdusingknitr::rmarkdownon Nov 11 2024.

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

Portfolio Insurance Trading Strategies

Rendered fromportfolio_insurance_strategies.Rmdusingknitr::rmarkdownon Nov 11 2024.

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