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) and F. E. Benth, J. S. Benth, and S. Koekebakker (2008) . Portfolio insurance trading strategies for price risk management in the forward market, see F. Black (1976) , T. Bjork (2009) <>, F. Black and R. W. Jones (1987) and H. E. Leland (1980) <>.


Reference manual

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1.0.1 by Anders D. Sleire, 4 months ago

Browse source code at

Authors: Anders D. Sleire

Documentation:   PDF Manual  

Task views: Empirical Finance

MIT + file LICENSE license

Imports ggplot2, reshape2, methods

Suggests testthat, knitr, rmarkdown, markdown

See at CRAN