RTL (version 0.1.6)

swapCOM: swapCOM

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 as character. 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.

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")
# }