RTL is a purposely designed for traders, analysts and risk practitioners in Commodities and Finance. It also supports delivery of Finance classes from one of the creator also in Academics at the Alberta School of Business.
Send feedback to pcote@ualberta.ca
. We welcome feedback,
suggestions and collaboration.
expiry_table
: NYMEX and ICE contracts expiry
tables.holidaysOil
: Holiday calendars for NYMEX and ICE.tradeCycle
: US and Canadian crude oil trading
calendars.tickers_eia
: Mapping of EIA tickers to crude and
refined products markets for building supply demand balances.eiaStorageCap
: Historical EIA crude storage capacity by
PADD.eiaStocks
: Sample data set of EIA.gov stocks for key
commodities.rolladjust()
adjusts continuous contracts returns for
roll adjustments using expiry_table
.swapCOM()
computes Calendar Month Average commodity
swap prices.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.swapIRS()
computes IRS swap prices.chart_fwd_curves()
: plots historical forward curves, a
useful feature to understand the pricing dynamics of a market.chart_zscore()
supports seasonality adjusted analysis
of residuals, particularly useful when dealing with commodity stocks
and/or days demand time series with trends as well as non-constant
variance across seasonal periods.chart_eia_steo()
and chart_eia_sd()
return
either a chart or dataframe of supply demand balances from the EIA.chart_spreads()
to generate specific contract spreads
across years e.g. ULSD March/April. Requires Morninstar
credentials.Valid credentials for commercial API services are required.
Genscape API functions:
getGenscapeStorageOil()
.getGenscapePipeOil()
.Morningstar Marketplace API functions:
getPrice()
, getPrices()
and
getCurve()
using your own Morningstar credentials. Current
feeds included:
?getPrice
for up to date selection and
examples.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")
tradeHubs
has North Americas crude oil trading hubs
(WIP).getGIS(url = "https://gis.energy.gov.ab.ca/GeoviewData/OS_Agreements_Shape.zip")
usSwapIR
: Sample data set output of
getIRswapCurve
.usSwapCurves
: Sample data set output of
RQuantlib::DiscountCurve()
.A python version of RTL for most functions is available at https://pypi.org/project/risktools/.
Latest Package
devtools::install_github("risktoollib/RTL")
CRAN Stable install.packages("RTL")