fitOU() amended to annualized sigma, adjust theta for periodicity, and return half life of theta.GBSOption() function for Generalized Black Scholes model.CRROption() function for CRR model implemented in C++.swapInfo() to date using `lubridate::rollback()’ instead of base R to ensure it works when on the 31st of the month and it does not exist for months + 4.getCurve() and swapInfo() updated after vendor data table was dropped.rgdal package.eia2tidy() amended when EIA data returns partial “Not Available” - the EIA returns the value as type character in that case.tradeCycle includes number of business days in trade cycles based on Nymex calendar.expiry_table.cma contains metadata for computation of CME WTI Calendar Month Average swap.discdescplot was archived. Please contact the maintainer if you still require it.getBoC() to access the Bank of Canada Valet API.list types.chart_eia_sd() fixed for new EIA API.Consolidated many data sets into list types.
eia2tidy() upgraded to version 2 EIA API and eia2tidy_all() added for multiple series extractions.futuresRef data set for futures contract month codes and specifications.cushingStorage data set for storage spreads analytics example.stocks dataset as a list.tradeStrategySMA() is an example of a Moving Average crossover strategy.tradeStrategyDY() is an example of a dividend yield based strategy. The example is based on the ry data set for Royal Bank of Canada shares on NYSE.crudeOil data set as a list item.chart_spreads() amended to show properly contract pairs that have not expired.simMultivariates() and efficientFrontier() correlation method moved to “kendall”.simGBM() output with added variable t for time and performance improved.cancrudeassayssum removed and replaced by existing cancrudeassays.simMultivariates() generates multivariate normal random epsilons from a a historical data set.efficientFrontier() generates Markowitz mean-variance portfolios for commodities assets i.e. risk and reward not in percentages.simOU() augmented with an extra parameter epsilon in case your simulation is part of a multivariate simulation.crudeassaysBP.tradeHubs contains GIS coordinates for major crude oil trading hubs in North America.tsQuotes dataset for use with RQuantLib::DiscountCurve().simOUt() implements simOU() with a mean reversion level as a function of time.simGBM() vectorized.simOU(), simOUt() and simOUJ() implemented in Rcpp - see ./src/rcpp*.cpptradeHubs.tidyquant::tq_get().chart_zscore() time axis fixed.quandl for interest rates. Use RTL::ir_df_us data set instead.expiry_table updated and now includes LTH and HG CME contracts.usSwapIR and getIRswapCurve() as data is no longer available after discontinuation of LIBOR fixes..eia2tidy() makes requests over https instead of http as API now requires it.testthat implemented for metadata checks.tradeCycle dates for Canadian Crude.dfwide retains the NA so as not to reduce scope where all tickers have data.eiaStorageCap now includes Lower 48 States Working Natural Gas Total Underground Storage Capacity.chart_fwd_curves() vectorized.eiaStorageCap data set for PADD1 middle and light distillates as a proxy for NYH.tradeCycle updated for 2022 Canadian Notice of Shipments and US Domestic crude calendar added.rolladjust() updated with CME Canadian crude calendar cmdty == “cmecan”.chart_eia_steo() inventory imbalance subplot updated to a line fill type for better visibility.promptBeta() period input.getPrices() merging with all = TRUE.stl_decomp() has been removed.tradestats partially migrated to tidyquant from quantmod.getCurve() updated for LME and SHFE feeds.fxfwd dataset created for USD/CAD FX forwards.eurodollar dataset created for eurodollar future contract.rmp dataset created for Producer Hedging project.dflong and dflong datasets now contain CME Aluminium prices.getPrice():
AESO_ForecastAndActualPoolPricegetGIS() to obtain a object from a shapefile URL. The datasets below were removed and can be recreated as follows:
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")expiry_table updated for expiries + Yahoo Finance tickers to pull using tidyquant::tq_get().eiaStorageCap: EIA crude storage capacity by PADD.getGenscapeStorageOil() and getGenscapePipeOil().getPrice():
ERCOT_LmpsByResourceNodeAndElectricalBusPJM_Rt_Hourly_Lmpchart_spreads conversion armument now a vector allowing for different conversion e.g. crack spreads.cancrudeassays dataset. Removed AHS, WCB and SYN grades.chart_zscore() amended. Output stats returns statistical tests and res fitted results.promptBeta() removed output stats.usSwapIR, usSwapCurves with rates as of 2020-12-31.tradeCycle table updated for Canadian crude oil 2021 calendar. Source: COLC.getPrice fixed to return Settle instead of Open when feed=CME_NymexOptions_EOD.chart_spreads() to generate specific contract spreads across years e.g. ULSD March/April. Requires Morninstar credentials.
Morningstar feeds:
ngpipelines, ngstorage, nghubs, lngterminals.eia2tidy() amended for quarterly and hourly data.getPrice() and getPrices() functions.promptBeta() chart moved to plotly.getCurve() added to extract OHLC futures contract forward curves from Morningstar.chart_eia_steo() returns a Supply/Demand balance from the EIA STEO data set. Currently configured for Global Liquids and will be augmented for US Crude, Light and Middle Distillates.chart_eia_sd() returns Supply/Demand balance from the EIA weekly data for mogas, distillates, jet and resids.tickers_eia table updated to build Supply Demand Balances for US products.ref.opt.inputs and ref.opt.outputs to support refinery LP optimization education using lpSolve package.swapFutWeight() returns the % applied to the first line contract in Calendar Month Average commodity swaps when two futures contracts are involved e.g. WTI. It uses the proper NYMEX or ICE holiday calendars and fit for purpose for building trading sheets.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.eia2tidy() fix for key variable in function.crudes dataset updated.twtrump and twoott tweets datasets for learning NLP.eia2tidy() removed dependency to EIAdata package.chart_pairs() funtion added to render plotly pairs chart for time series.cancrudeassayssum for Canadian Crude assays.crudes from crudemonitor.ca and BP Assays.refineries and crudepipelines.eiaStocks and eiaStorageCap data sets.dplyr 1.0.0.dflong and dfwide updated.crudeassaysXOM as a list for complete public assays from ExxonMobil.planets data for interest rate exercises.