swapCOM {RTL} | R Documentation |
Commodity Calendar Month Average Swaps
Description
Commodity swap pricing from exchange settlement
Usage
swapCOM(
futures = futs,
futuresNames = c("CL0M", "CL0N"),
pricingDates = c("2020-05-01", "2020-05-30"),
contract = "cmewti",
exchange = "nymex"
)
Arguments
futures |
Wide data frame of futures prices for the given swap pricing dates. |
futuresNames |
Tickers of relevant futures contracts. |
pricingDates |
Vector of start and end pricing dates. See example. |
contract |
Contract code in data(expiry_table). sort(unique(expiry_table$cmdty)) for options. |
exchange |
Exchange code in data(holidaysOil). Currently only "nymex" and "ice" supported. |
Value
Data frame of histocial swap prices. tibble
Author(s)
Philippe Cote
Examples
## Not run:
c <- paste0("CL0", c("M", "N", "Q"))
futs <- getPrices(
feed = "CME_NymexFutures_EOD", contracts = c, from = "2019-08-26",
iuser = username, ipassword = password
)
swapCOM(
futures = futs, futuresNames = c("CL0M", "CL0N"),
pricingDates = c("2020-05-01", "2020-05-30"), contract = "cmewti", exchange = "nymex"
)
## End(Not run)
[Package RTL version 1.3.5 Index]