SHPI-class

<p>An S4 class for the SHPI hedging strategy</p>

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

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

Description

Arguments