msfc: Maximum Smoothness Forward Curve (MSFC)

In sleire/etrm: Energy Trading and Risk Management

Maximum Smoothness Forward Curve (MSFC)

Description

Creates a smooth forward curve from futures prices for a flow delivery

Usage

msfc(tdate, include, contract, sdate, edate, f, prior = 0)

Arguments

tdate	trading date
include	logical vector to determine if contracts should be included in calculation
contract	vector with contract names
sdate	date vector with contract delivery start dates
edate	date vector with contract delivery end dates
f	numeric vector with futures contract prices
prior	numeric vector with prior forward price curve

Value

instance of the MSFC class

Examples

# calculate forward curve for synthetic futures contracts, without prior

# date for curve calculation and contract information
tdate <- as.Date("2021-06-17")
include <- rep(TRUE, 10)
contract <- c("JUL-21", "AUG-21", "SEP-21", "OCT-21", "NOV-21", "DEC-21",
"Q1-22", "Q2-22", "Q3-22", "Q4-22")

sdate <- as.Date(c("2021-07-01", "2021-08-01", "2021-09-01", "2021-10-01",
"2021-11-01", "2021-12-01", "2022-01-01", "2022-04-01", "2022-07-01", "2022-10-01"))

edate <- as.Date(c("2021-07-30", "2021-08-31", "2021-09-30", "2021-10-31",
"2021-11-30", "2021-12-31", "2022-03-31", "2022-06-30", "2022-09-30", "2022-12-31"))

f <- c(32.55, 32.50, 32.50, 32.08, 36.88, 39.80, 39.40, 25.20, 21.15, 29.50)

fwd_curve <- msfc(tdate = tdate,
include = include,
contract = contract,
sdate = sdate,
edate = edate,
f = f)

sleire/etrm documentation built on Feb. 5, 2023, 9:02 a.m.