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-4.7)etrm_1.0.2.zip(r-4.6)etrm_1.0.2.zip(r-4.5)
etrm_1.0.2.tgz(r-4.6-any)etrm_1.0.2.tgz(r-4.5-any)
etrm_1.0.2.tar.gz(r-4.7-any)etrm_1.0.2.tar.gz(r-4.6-any)
etrm_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
etrm/json (API)

# 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

5.73 score 45 stars 12 scripts 288 downloads 9 exports 23 dependencies

Last updated from:8c9365ad5a. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK127
source / vignettesOK197
linux-release-x86_64OK136
macos-release-arm64OK151
macos-oldrel-arm64OK205
windows-develOK111
windows-releaseOK97
windows-oldrelOK102
wasm-releaseOK131

Exports:cppidppimsfcobpiplotshowshpislpisummary

Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecyclemagrittrplyrR6RColorBrewerRcppreshape2rlangS7scalesstringistringrvctrsviridisLitewithr

Portfolio Insurance Trading Strategies
Rendered fromportfolio_insurance_strategies.Rmdusingknitr::rmarkdown

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

Maximum Smoothness Forward Curve
Rendered frommsfc_forward_curve.Rmdusingknitr::rmarkdown

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