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>.

Version: 1.0.1
Depends: R (≥ 3.5.0)
Imports: ggplot2, reshape2, methods
Suggests: testthat, knitr, rmarkdown, markdown
Published: 2021-06-23
Author: Anders D. Sleire
Maintainer: Anders D. Sleire <sleire at gmail.com>
License: MIT + file LICENSE
NeedsCompilation: no
Materials: README
CRAN checks: etrm results

Downloads:

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-release (x86_64): etrm_1.0.1.tgz, r-oldrel: etrm_1.0.1.tgz

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