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) < https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742>, F. Black and R. W. Jones (1987) and H. E. Leland (1980) < http://www.jstor.org/stable/2327419>.


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Reference manual

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install.packages("etrm")

1.0.1 by Anders D. Sleire, a month ago


Browse source code at https://github.com/cran/etrm


Authors: Anders D. Sleire


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports ggplot2, reshape2, methods

Suggests testthat, knitr, rmarkdown, markdown


See at CRAN