RTL/README.Rmd at master · risktoollib/RTL · GitHub

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---
output: github_document
---

<!-- README.md is generated from README.Rmd. Please edit that file -->

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## Overview

RTL is a purposely designed for traders, analysts and risk practitioners in Commodities and Finance. It also supports delivery of Finance classes from one of the creator also in Academics at the [Alberta School of Business](https://www.ualberta.ca/en/business/index.html).

Send feedback to `pcote@ualberta.ca`. We welcome feedback, suggestions and collaboration.

### Energy Markets Reference Data

+ `expiry_table`: NYMEX and ICE contracts expiry tables.
+ `holidaysOil`: Holiday calendars for NYMEX and ICE.
+ `tradeCycle`: US and Canadian crude oil trading calendars.
+ `tickers_eia`: Mapping of EIA tickers to crude and refined products markets for building supply demand balances.
+ `eiaStorageCap`: Historical EIA crude storage capacity by PADD.
+ `eiaStocks`: Sample data set of EIA.gov stocks for key commodities.

### Swap Pricing and Contract Roll Adjustement

+ `rolladjust()` adjusts continuous contracts returns for roll adjustments using `expiry_table`.
+ `swapCOM()` computes Calendar Month Average commodity swap prices.
+ `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.
+ `swapIRS()` computes IRS swap prices.

### Charting

+ `chart_fwd_curves()`: plots historical forward curves, a useful feature to understand the pricing dynamics of a market.
+ `chart_zscore()` supports seasonality adjusted analysis of residuals, particularly useful when dealing with commodity stocks and/or days demand time series with trends as well as non-constant variance across seasonal periods.
+ `chart_eia_steo()` and `chart_eia_sd()` return either a chart or dataframe of supply demand balances from the EIA.
+ `chart_spreads()` to generate specific contract spreads across years e.g. ULSD March/April. Requires Morninstar credentials.
+ ...

### APIs

Valid credentials for commercial API services are required.

#### Genscape

[Genscape API ](https://developer.genscape.com/) functions:

+ `getGenscapeStorageOil()`.
+ `getGenscapePipeOil()`.

#### Zema Marketplace

[Zema Marketplace API](https://www.zema.global/platforms/zema-marketplace) functions:

+ `getPrice()`, `getPrices()` and `getCurve()` using your own Zema credentials. Current feeds included:

  + ICE_EuroFutures and ICE_EuroFutures_continuous.
  + CME_NymexFutures_EOD and CME_NymexFutures_EOD_continuous.
  + CME_NymexOptions_EOD.
  + CME_CbotFuturesEOD and CME_CbotFuturesEOD_continuous.
  + CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.
  + LME_AskBidPrices_Delayed.
  + CME_CmeFutures_EOD and CME_CmeFutures_EOD_continuous.
  + CME_STLCPC_Futures.
  + ICE_NybotCoffeeSugarCocoaFutures and ICE_NybotCoffeeSugarCocoaFutures_continuous.
  + ... see `?getPrice` for up to date selection and examples.

### GIS Dataset

#### EIA

+ crudepipelines <- `getGIS(url = "https://www.eia.gov/maps/map_data/CrudeOil_Pipelines_US_EIA.zip")`
+ refineries <- `getGIS(url = "https://www.eia.gov/maps/map_data/Petroleum_Refineries_US_EIA.zip")`
+ productspipelines <- `getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Pipelines_US_EIA.zip")`
+ productsterminals <- `getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")`
+ ngpipelines <- `getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_InterIntrastate_Pipelines_US_EIA.zip")`
+ ngstorage <- `getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")`
+ nghubs <- `getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_TradingHubs_US_EIA.zip")`
+ lngterminals <- `getGIS(url = "https://www.eia.gov/maps/map_data/Lng_ImportExportTerminals_US_EIA.zip")`
+ `tradeHubs` has North Americas crude oil trading hubs (WIP).

#### Alberta Oil Sands, Petroleum and Natural Gas

+ AB <- `getGIS(url = "https://gis.energy.gov.ab.ca/GeoviewData/OS_Agreements_Shape.zip")`

### Interest Rates

+ `usSwapIR`: Sample data set output of `getIRswapCurve`.
+ `usSwapCurves`: Sample data set output of `RQuantlib::DiscountCurve()`.

## Python

A python version of RTL for most functions is available at https://pypi.org/project/risktools/.

## Installation

**Latest Package**
`devtools::install_github("risktoollib/RTL")`

**CRAN Stable**
`install.packages("RTL")`