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 Documentation: Reference manual: etrm.pdf Vignettes: Maximum Smoothness Forward CurvePlease use the canonical form https://CRAN.R-project.org/package=etrm to link to this page.
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