spreadOption function added for spread options on
European option using Kirk’s approximation.barrierSpreadPrice function added for barrier spread
options.getPrice form Morningstar feed =
CME_NymexOptionsFinal_EODtradeCycle and expiry_table updated.fitOU() amended to annualized sigma, adjust theta for
periodicity, and return half life of theta.GBSOption() function for Generalized Black
Scholes model.CRROption() function for CRR model implemented in
C++.swapInfo() to date using `lubridate::rollback()’
instead of base R to ensure it works when on the 31st of the month and
it does not exist for months + 4.getCurve() and swapInfo() updated after
vendor data table was dropped.rgdal package.eia2tidy() amended when EIA data returns partial “Not
Available” - the EIA returns the value as type character in that
case.tradeCycle includes number of business days in trade
cycles based on Nymex calendar.expiry_table.cma contains metadata for computation of CME WTI
Calendar Month Average swap.discdescplot was archived. Please contact the
maintainer if you still require it.getBoC() to access the Bank of Canada Valet API.list types.chart_eia_sd() fixed for new EIA API.Consolidated many data sets into list types.
eia2tidy() upgraded to version 2 EIA API and
eia2tidy_all() added for multiple series extractions.futuresRef data set for futures contract month codes
and specifications.cushingStorage data set for storage spreads analytics
example.stocks dataset as
a list.tradeStrategySMA() is an example of a Moving Average
crossover strategy.tradeStrategyDY() is an example of a dividend yield
based strategy. The example is based on the ry data set for
Royal Bank of Canada shares on NYSE.crudeOil data
set as a list item.chart_spreads() amended to show properly contract pairs
that have not expired.simMultivariates() and efficientFrontier()
correlation method moved to “kendall”.simGBM() output with added variable t for
time and performance improved.cancrudeassayssum removed and replaced by existing
cancrudeassays.simMultivariates() generates multivariate normal random
epsilons from a a historical data set.efficientFrontier() generates Markowitz mean-variance
portfolios for commodities assets i.e. risk and reward not in
percentages.simOU() augmented with an extra parameter
epsilon in case your simulation is part of a multivariate
simulation.crudeassaysBP.tradeHubs contains GIS coordinates for major crude oil
trading hubs in North America.tsQuotes dataset for use with
RQuantLib::DiscountCurve().simOUt() implements simOU() with a mean
reversion level as a function of time.simGBM() vectorized.simOU(), simOUt() and
simOUJ() implemented in Rcpp - see
./src/rcpp*.cpptradeHubs.tidyquant::tq_get().chart_zscore() time axis fixed.quandl for interest
rates. Use RTL::ir_df_us data set instead.expiry_table updated and now includes LTH and HG CME
contracts.usSwapIR and getIRswapCurve() as
data is no longer available after discontinuation of LIBOR fixes..eia2tidy() makes requests over https
instead of http as API now requires it.testthat implemented for metadata checks.tradeCycle dates for Canadian
Crude.dfwide retains the NA so as not to reduce
scope where all tickers have data.eiaStorageCap now includes Lower 48 States Working
Natural Gas Total Underground Storage Capacity.chart_fwd_curves() vectorized.eiaStorageCap data set for
PADD1 middle and light distillates as a proxy for NYH.tradeCycle updated for 2022 Canadian Notice of
Shipments and US Domestic crude calendar added.rolladjust() updated with CME Canadian crude calendar
cmdty == “cmecan”.chart_eia_steo() inventory imbalance subplot updated to
a line fill type for better visibility.promptBeta() period input.getPrices() merging with all = TRUE.stl_decomp() has been removed.tradestats partially migrated to tidyquant
from quantmod.getCurve() updated for LME and SHFE feeds.fxfwd dataset created for USD/CAD FX forwards.eurodollar dataset created for eurodollar future
contract.rmp dataset created for Producer Hedging project.dflong and dflong datasets now contain CME
Aluminium prices.getPrice():
AESO_ForecastAndActualPoolPricegetGIS() to obtain a object from a shapefile URL.
The datasets below were removed and can be recreated as
follows:
getGIS(url = "https://www.eia.gov/maps/map_data/CrudeOil_Pipelines_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/Petroleum_Refineries_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Pipelines_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_InterIntrastate_Pipelines_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_TradingHubs_US_EIA.zip")getGIS(url = "https://www.eia.gov/maps/map_data/Lng_ImportExportTerminals_US_EIA.zip")expiry_table updated for expiries + Yahoo Finance
tickers to pull using tidyquant::tq_get().eiaStorageCap: EIA crude storage capacity by PADD.getGenscapeStorageOil() and
getGenscapePipeOil().getPrice():
ERCOT_LmpsByResourceNodeAndElectricalBusPJM_Rt_Hourly_Lmpchart_spreads conversion armument now a vector allowing
for different conversion e.g. crack spreads.cancrudeassays dataset. Removed AHS, WCB and
SYN grades.chart_zscore() amended. Output stats
returns statistical tests and res fitted results.promptBeta() removed output stats.usSwapIR, usSwapCurves with rates
as of 2020-12-31.tradeCycle table updated for Canadian crude oil 2021
calendar. Source: COLC.getPrice fixed to return Settle instead of Open when
feed=CME_NymexOptions_EOD.chart_spreads() to generate specific contract
spreads across years e.g. ULSD March/April. Requires Morninstar
credentials.
Morningstar feeds:
ngpipelines, ngstorage,
nghubs, lngterminals.eia2tidy() amended for quarterly and hourly data.getPrice() and
getPrices() functions.promptBeta() chart moved to plotly.getCurve() added to extract OHLC futures contract
forward curves from Morningstar.chart_eia_steo() returns a Supply/Demand balance from
the EIA STEO data set. Currently configured for Global Liquids and will
be augmented for US Crude, Light and Middle Distillates.chart_eia_sd() returns Supply/Demand balance from the
EIA weekly data for mogas, distillates, jet and resids.tickers_eia table updated to build Supply Demand
Balances for US products.ref.opt.inputs and
ref.opt.outputs to support refinery LP optimization
education using lpSolve package.swapFutWeight() returns the % applied to the first line
contract in Calendar Month Average commodity swaps when two futures
contracts are involved e.g. WTI. It uses the proper NYMEX or ICE holiday
calendars and fit for purpose for building trading sheets.swapInfo() returns all information required to price
first line futures contract averaging swap or CMA physical trade,
including a current month instrument with prior settlements.eia2tidy() fix for key variable in function.crudes dataset updated.twtrump and twoott tweets datasets for
learning NLP.eia2tidy() removed dependency to EIAdata
package.chart_pairs() funtion added to render plotly pairs
chart for time series.cancrudeassayssum for
Canadian Crude assays.crudes from crudemonitor.ca
and BP Assays.refineries and
crudepipelines.eiaStocks and eiaStorageCap data
sets.dplyr 1.0.0.dflong and dfwide
updated.crudeassaysXOM as a list for complete public
assays from ExxonMobil.planets data for interest rate exercises.