powpriors130513

An example of two simple priors for forward market price to be used with powfutures130513

datasets

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

powpriors130513 function

A data frame with 3885 rows and 3 columns:<dl class="dl-horizontal">
 <dt>Date</dt><dd>vector of dates ranging from 2013-05-13 to final end date of contracts in powfutures130513</dd>
 <dt>trig.prior</dt><dd>a simple smooth trigonometric prior describing power price seasonality</dd>
 <dt>mod.prior</dt><dd>a trigonometric prior adjusted for typical calendar effects</dd>
</dl>

Format

Example priors at trading date 2015-05-13 — powpriors130513

A data frame with 3885 rows and 3 columns:<dl class='dl-horizontal'>
 <dt>Date</dt><dd>vector of dates ranging from 2013-05-13 to final end date of contracts in powfutures130513</dd>
 <dt>trig.prior</dt><dd>a simple smooth trigonometric prior describing power price seasonality</dd>
 <dt>mod.prior</dt><dd>a trigonometric prior adjusted for typical calendar effects</dd>
</dl>

powpriors130513: Example priors at trading date 2015-05-13

Description

Usage

Arguments

Format