| bond |
Bond pricing |
| cancrudeassays |
Data for Canadian crude assays reported by Crude Monitor |
| cancrudeassayssum |
Summarized data for Canadian crude assays |
| cancrudeprices |
Randomized data for Canadian crude 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 |
| CRReuro |
Cox-Ross-Rubinstein binomial option model |
| crudeassaysBP |
Data for BP crude assays |
| crudeassaysXOM |
Data for ExxonMobil crude assays |
| crudes |
Data for crude assays of 50+ types of crude oil. |
| dflong |
Data for commodity prices in a long dataframe format |
| dfwide |
Data for commodity prices in a wide dataframe format |
| distdescplot |
Summary of distribution properties of a timeseries |
| efficientFrontier |
Markowitz Efficient Frontier |
| eia2tidy |
EIA API call with tidy output |
| eiaStocks |
Data for EIA weekly stocks |
| eiaStorageCap |
Data for working storage capacity in the US |
| eurodollar |
Data for Eurodollar futures contracts |
| expiry_table |
Metadata for expiry of common commodity futures contract. |
| fitOU |
Fits a Ornstein–Uhlenbeck process to a dataset |
| fizdiffs |
Randomized data of physical crude differentials |
| fxfwd |
Data for USDCAD FX forward rates |
| garch |
Wrapper for a Garch(1,1) returning either a plot or data. |
| 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 |
Metadata for NYMEX and ICE holiday calendars |
| npv |
NPV |
| planets |
Data for IR compounding exercises |
| promptBeta |
Computes betas of futures contracts with respect to the 1st line contract |
| ref.opt.inputs |
Metadata for teaching refinery optimization using a LP model - INPUTS |
| ref.opt.outputs |
Metadata for teaching refinery optimization using a LP model - OUTPUTS |
| refineryLP |
LP model for refinery optimization |
| 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 |
Data for spot to futures convergence - historical data |
| spot2futCurve |
Data for spot to futures convergence - forward curve |
| spy |
Sample SPY ETF data set |
| 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 |
Metadata of key EIA tickers grouped by products. |
| tradeCycle |
Data for Canadian and US physical crude trading calendars |
| tradeHubs |
GIS Data for Crude Oil Trading Hubs |
| tradeprocess |
Data for teaching the various ways to monetize a market call. |
| tradeStats |
Risk-reward statistics for quant trading |
| tsQuotes |
Interest Rate Curve Data for RQuantlib . |
| usSwapCurves |
Data for US interest rate discounting using zero rates curve. |
| usSwapCurvesPar |
Data for US interest rate discounting using zero rates parallel curve. |
| wtiSwap |
Data for WTI Calendar Month Average Swap pricing |
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