etrm

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.

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