| bond |
Bond pricing |
| chart_eia_sd |
EIA weekly supply-demand information by product group |
| chart_eia_steo |
EIA Short Term Energy Outlook |
| chart_fwd_curves |
Plots historical forward curves |
| chart_pairs |
Pairwise scatter plots for timeseries |
| chart_PerfSummary |
Cumulative performance and drawdown summary. |
| chart_spreads |
Futures contract spreads comparison across years |
| chart_zscore |
Z-Score applied to seasonal data divergence |
| cma |
metadata for WTI CMA |
| CRReuro |
Cox-Ross-Rubinstein binomial option model |
| CRROption |
Cox-Ross-Rubinstein Option Pricing Model |
| crudeOil |
dataset: crude assays |
| cushing |
dataset: WTI Cushing Futures and storage utilization |
| dflong |
dataset: commodity prices in a long dataframe format |
| dfwide |
dataset: commodity prices in a wide dataframe format |
| efficientFrontier |
Markowitz Efficient Frontier |
| eia2tidy |
EIA API call with tidy output |
| eia2tidy_all |
EIA API multiple calls with tidy output |
| eiaStocks |
dataset: EIA weekly stocks |
| eiaStorageCap |
dataset: EIA working storage capacity |
| eurodollar |
dataset: Eurodollar futures contracts |
| expiry_table |
dataset: expiry of common commodity futures contract. |
| fitOU |
Fits a Ornstein–Uhlenbeck process to a dataset |
| fizdiffs |
dataset: randomised physical crude differentials |
| futuresRef |
dataset: futures contracts metadata |
| fxfwd |
dataset: USDCAD FX forward rates |
| garch |
Wrapper for a Garch(1,1) returning either a plot or data. |
| GBSOption |
Generalized Black-Scholes (GBS) Option Pricing Model |
| getBoC |
Bank of Canada Valet API |
| getCurve |
Morningstar Commodities API forward curves |
| getGenscapePipeOil |
Genscape API call for oil pipelines |
| getGenscapeStorageOil |
Genscape API call for oil storage |
| getGIS |
Extract and convert GIS data from a URL |
| getPrice |
Morningstar Commodities API single call |
| getPrices |
Morningstar Commodities API multiple calls |
| holidaysOil |
dataset: NYMEX and ICE holiday calendars |
| npv |
NPV |
| ohlc |
dataset: randomiser to convert settlement into OHLC |
| planets |
dataset: IR compounding |
| promptBeta |
Computes betas of futures contracts with respect to the 1st line contract |
| refineryLP |
LP model for refinery optimization |
| refineryLPdata |
dataset: refinery LP model sample inputs and outputs |
| returns |
Compute absolute, relative or log returns. |
| rolladjust |
Adjusts daily returns for futures contracts roll |
| simGBM |
GBM process simulation |
| simMultivariates |
Multivariate normal from historical dataset |
| simOU |
OU process simulation |
| simOUJ |
OUJ process simulation |
| simOUt |
OU process simulation |
| spot2futConvergence |
dataset: spot to futures convergence |
| spot2futCurve |
dataset: spot to futures convergence curve |
| steo |
dataset: EIA Short Term Energy Outlook |
| stocks |
dataset: Yahoo Finance data sets |
| swapCOM |
Commodity Calendar Month Average Swaps |
| swapFutWeight |
Commodity Calendar Month Average Swap futures weights |
| swapInfo |
Commodity Swap details to learn their pricing |
| swapIRS |
Interest Rate Swap |
| tickers_eia |
datasest: metadata of key EIA tickers grouped by products. |
| tradeCycle |
dataset: Canadian and US physical crude trading calendars |
| tradeHubs |
dataset: GIS locations for crude oil trading hubs |
| tradeprocess |
dataset: data for teaching the various ways to monetize a market call. |
| tradeStats |
Risk-reward statistics for quant trading |
| tradeStrategyDY |
Sample quantitative trading strategy |
| tradeStrategySMA |
Sample quantitative trading strategy |
| tsQuotes |
dataset: interest rate curve data for RQuantlib . |
| usSwapCurves |
dataset: US bootstrapped interest rate curve. |
| usSwapCurvesPar |
dataset: US bootstrapped interest rate curve parallel sample. |
| wtiSwap |
dataset: WTI Calendar Month Average Swap pricing data |
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