swapCOM: Commodity Calendar Month Average Swaps

In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Commodity Calendar Month Average Swaps

Description

Commodity swap pricing from exchange settlement

Usage

swapCOM(
  futures = futs,
  futuresNames = c("CL0M", "CL0N"),
  pricingDates = c("2020-05-01", "2020-05-30"),
  contract = "cmewti",
  exchange = "nymex"
)

Arguments

futures	Wide data frame of futures prices for the given swap pricing dates. tibble
futuresNames	Tickers of relevant futures contracts. character
pricingDates	Vector of start and end pricing dates. See example. character
contract	Contract code in data(expiry_table). sort(unique(expiry_table$cmdty)) for options. character
exchange	Exchange code in data(holidaysOil). Currently only "nymex" and "ice" supported. character

Value

Data frame of histocial swap prices. tibble

Author(s)

Philippe Cote

Examples

## Not run: 
c <- paste0("CL0", c("M", "N", "Q"))
futs <- getPrices(
  feed = "CME_NymexFutures_EOD", contracts = c, from = "2019-08-26",
  iuser = username, ipassword = password
)
swapCOM(
  futures = futs, futuresNames = c("CL0M", "CL0N"),
  pricingDates = c("2020-05-01", "2020-05-30"), contract = "cmewti", exchange = "nymex"
)

## End(Not run)

risktoollib/RTL documentation built on April 17, 2024, 1:35 p.m.