DPPI-class

An S4 class for the DPPI hedging strategy

Provides a collection of functions to perform core tasks within
Energy Trading and Risk Management (ETRM). Calculation of maximum smoothness
forward price curves for electricity and natural gas contracts with flow delivery, as presented in
F. E. Benth, S. Koekebakker, and F. Ollmar (2007) <doi:10.3905/jod.2007.694791>
and F. E. Benth, J. S. Benth, and S. Koekebakker (2008) <doi:10.1142/6811>.
Portfolio insurance trading strategies for price risk management in the forward market, see
F. Black (1976) <doi:10.1016/0304-405X(76)90024-6>,
T. Bjork (2009) <https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742>,
F. Black and R. W. Jones (1987) <doi:10.3905/jpm.1987.409131> and
H. E. Leland (1980) <http://www.jstor.org/stable/2327419>.

Anders Sleire

etrm

Energy Trading and Risk Management

DPPI-class function

<dl class="dl-horizontal">
<dt><code>TargetPercent</code></dt><dd>A percentage of first trading day's market price used to set target price (cap or floor)</dd></dl><dt><code>RiskFactor</code></dt><dd>The risk factor (cushion) used in the DPPI model</dd>

DPPI-class: An S4 class for the DPPI hedging strategy

Description

Arguments

Slots