msfc {etrm}

Maximum Smoothness Forward Curve (MSFC)

Description

Creates a smooth forward curve from futures prices for a flow delivery

Usage

msfc(tdate, include, contract, sdate, edate, f, prior = 0)

Arguments

tdate

trading date

include

logical vector to determine if contracts should be included in calculation

contract

vector with contract names

sdate

date vector with contract delivery start dates

edate

date vector with contract delivery end dates

f

numeric vector with futures contract prices

prior

numeric vector with prior forward price curve

Value

instance of the MSFC class

Examples

# calculate forward curve for synthetic futures contracts, without prior

# date for curve calculation and contract information
tdate <- as.Date("2021-06-17")
include <- rep(TRUE, 10)
contract <- c("JUL-21", "AUG-21", "SEP-21", "OCT-21", "NOV-21", "DEC-21",
"Q1-22", "Q2-22", "Q3-22", "Q4-22")

sdate <- as.Date(c("2021-07-01", "2021-08-01", "2021-09-01", "2021-10-01",
"2021-11-01", "2021-12-01", "2022-01-01", "2022-04-01", "2022-07-01", "2022-10-01"))

edate <- as.Date(c("2021-07-30", "2021-08-31", "2021-09-30", "2021-10-31",
"2021-11-30", "2021-12-31", "2022-03-31", "2022-06-30", "2022-09-30", "2022-12-31"))

f <- c(32.55, 32.50, 32.50, 32.08, 36.88, 39.80, 39.40, 25.20, 21.15, 29.50)

fwd_curve <- msfc(tdate = tdate,
include = include,
contract = contract,
sdate = sdate,
edate = edate,
f = f)