Risk Tool Library - Trading, Risk, 'Analytics' for Commodities
Bond pricing
EIA weekly supply-demand information by product group
EIA Short Term Energy Outlook
Plots historical forward curves
Pairwise scatter plots for timeseries
Cumulative performance and drawdown summary.
Futures contract spreads comparison across years
Z-Score applied to seasonal data divergence
Cox-Ross-Rubinstein binomial option model
Cox-Ross-Rubinstein Option Pricing Model
Markowitz Efficient Frontier
EIA API call with tidy output
EIA API multiple calls with tidy output
Fits a Ornstein–Uhlenbeck process to a dataset
Wrapper for a Garch(1,1) returning either a plot or data.
Generalized Black-Scholes (GBS) Option Pricing Model
Bank of Canada Valet API
Morningstar Commodities API forward curves
Genscape API call for oil pipelines
Genscape API call for oil storage
Extract and convert GIS data from a URL
Morningstar Commodities API single call
Morningstar Commodities API multiple calls
NPV
Pipe operator
Computes betas of futures contracts with respect to the 1st line contr...
LP model for refinery optimization
Compute absolute, relative or log returns.
Adjusts daily returns for futures contracts roll
RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities
GBM process simulation
Multivariate normal from historical dataset
OU process simulation
OUJ process simulation
OU process simulation
Commodity Calendar Month Average Swaps
Commodity Calendar Month Average Swap futures weights
Commodity Swap details to learn their pricing
Interest Rate Swap
Risk-reward statistics for quant trading
Sample quantitative trading strategy
Sample quantitative trading strategy
A toolkit for Commodities 'analytics', risk management and trading professionals. Includes functions for API calls to <https://commodities.morningstar.com/#/>, <https://developer.genscape.com/>, and <https://www.bankofcanada.ca/valet/docs>.