RTL (version 1.2.0)

swapInfo: Commodity Swap details to learn their pricing

Description

Returns dataframe required to price a WTI averaging instrument based on first line settlements.

Usage

swapInfo(
  date = "2020-05-06",
  feeds = dplyr::tibble(feed = c("Crb_Futures_Price_Volume_And_Open_Interest",
    "CME_NymexFutures_EOD_continuous"), ticker = c("CL", "CL_001_Month")),
  contract = "cmewti",
  exchange = "nymex",
  iuser = "[e-mail]",
  ipassword = "pass",
  output = "all"
)

Value

Plot or a list of data frame and plot if output = "all".

Arguments

date

Character date as of which you want to extract daily settlement and forward values.

feeds

Feeds for Morningstar getCurve() and getPrice().

contract

Contract code in data(expiry_table). sort(unique(expiry_table$cmdty)) for options.

exchange

Exchange code in data(holidaysOil). Defaults to "nymex".

iuser

Morningstar user name as character - sourced locally in examples.

ipassword

Morningstar user password as character - sourced locally in examples.

output

"chart" or "all"

Author

Philippe Cote

Examples

if (FALSE) {
feeds <- dplyr::tibble(
  feed = c(
    "Crb_Futures_Price_Volume_And_Open_Interest",
    "CME_NymexFutures_EOD_continuous"
  ),
  ticker = c("CL", "CL_001_Month")
)
swapInfo(
  date = "2020-05-06", feeds = feeds, contract = "cmewti", exchange = "nymex",
  iuser = "[e-mail]", ipassword = "pass", output = "all"
)
}