Energy Trading and Risk Management
An S4 class for the CPPI hedging strategy
Constant Proportion Portfolio Insurance (CPPI)
An S4 class for the DPPI hedging strategy
Dynamic Proportion Portfolio Insurance (DPPI)
etrm: Energy Trading and Risk Management
An S4 VIRTUAL parent class for the hedging strategy classes in etrm
An S4 class for the Maximum Smoothness Forward Curve (MSFC) in etrm
Maximum Smoothness Forward Curve (MSFC)
An S4 class for the OBPI hedging strategy
Option Based Portfolio Insurance (OBPI)
S4 method for the plot generic for portfolio insurance strategy classe...
S4 method for the plot generic for class "MSFC"
S4 method for the show generic for portfolio insurance strategy classe...
S4 method for the show generic for class "MSFC"
An S4 class for the SHPI hedging strategy
Step Hedge Portfolio Insurance (SHPI)
An S4 class for the SLPI hedging strategy
Stop Loss Portfolio Insurance (SLPI)
S4 method for the summary generic for portfolio insurance strategy cla...
S4 method for the summary generic for class "MSFC"
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) <doi:10.3905/jod.2007.694791> and F. E. Benth, J. S. Benth, and S. Koekebakker (2008) <doi:10.1142/6811>. Portfolio insurance trading strategies for price risk management in the forward market, see F. Black (1976) <doi:10.1016/0304-405X(76)90024-6>, T. Bjork (2009) <https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742>, F. Black and R. W. Jones (1987) <doi:10.3905/jpm.1987.409131> and H. E. Leland (1980) <http://www.jstor.org/stable/2327419>.