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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>.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | ggplot2, reshape2, methods |
| Suggests: | testthat, knitr, rmarkdown, markdown |
| Published: | 2021-06-23 |
| DOI: | 10.32614/CRAN.package.etrm |
| Author: | Anders D. Sleire |
| Maintainer: | Anders D. Sleire <sleire at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Materials: | README |
| In views: | Finance |
| CRAN checks: | etrm results |
| Reference manual: | etrm.pdf |
| Vignettes: |
Maximum Smoothness Forward Curve Portfolio Insurance Trading Strategies |
| Package source: | etrm_1.0.1.tar.gz |
| Windows binaries: | r-devel: etrm_1.0.1.zip, r-release: etrm_1.0.1.zip, r-oldrel: etrm_1.0.1.zip |
| macOS binaries: | r-release (arm64): etrm_1.0.1.tgz, r-oldrel (arm64): etrm_1.0.1.tgz, r-release (x86_64): etrm_1.0.1.tgz, r-oldrel (x86_64): etrm_1.0.1.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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