Package: RTL 1.3.6

RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

A toolkit for Commodities 'analytics', risk management and trading professionals. Includes functions for API calls to <https://commodities.morningstar.com/#/>, <https://developer.genscape.com/>, and <https://www.bankofcanada.ca/valet/docs>.

Authors:Philippe Cote [aut, cre], Nima Safaian [aut]

RTL_1.3.6.tar.gz
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RTL.pdf |RTL.html✨
RTL/json (API)
NEWS

# Install 'RTL' in R:

install.packages('RTL', repos = c('https://risktoollib.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/risktoollib/rtl/issues

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

cma - Metadata for WTI CMA
crudeOil - Dataset: crude assays
cushing - Dataset: WTI Cushing Futures and storage utilization
dflong - Dataset: commodity prices in a long dataframe format
dfwide - Dataset: commodity prices in a wide dataframe format
eiaStocks - Dataset: EIA weekly stocks
eiaStorageCap - Dataset: EIA working storage capacity
eurodollar - Dataset: Eurodollar futures contracts
expiry_table - Dataset: expiry of common commodity futures contract.
fizdiffs - Dataset: randomised physical crude differentials
futuresRef - Dataset: futures contracts metadata
fxfwd - Dataset: USDCAD FX forward rates
holidaysOil - Dataset: NYMEX and ICE holiday calendars
ohlc - Dataset: randomiser to convert settlement into OHLC
planets - Dataset: IR compounding
refineryLPdata - Dataset: refinery LP model sample inputs and outputs
spot2futConvergence - Dataset: spot to futures convergence
spot2futCurve - Dataset: spot to futures convergence curve
steo - Dataset: EIA Short Term Energy Outlook
stocks - Dataset: Yahoo Finance data sets
tickers_eia - Datasest: metadata of key EIA tickers grouped by products.
tradeCycle - Dataset: Canadian and US physical crude trading calendars
tradeHubs - Dataset: GIS locations for crude oil trading hubs
tradeprocess - Dataset: data for teaching the various ways to monetize a market call.
tsQuotes - Dataset: interest rate curve data for RQuantlib .
usSwapCurves - Dataset: US bootstrapped interest rate curve.
usSwapCurvesPar - Dataset: US bootstrapped interest rate curve parallel sample.
wtiSwap - Dataset: WTI Calendar Month Average Swap pricing data

On CRAN:

analytics api commodities commodities-api finance genscape morningstar python risk-management

7.43 score 28 stars 162 scripts 454 downloads 10 mentions 41 exports 131 dependencies

Last updated 2 months agofrom:cf64647691. Checks:OK: 3 NOTE: 6. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 23 2024
R-4.5-win-x86_64	OK	Nov 23 2024
R-4.5-linux-x86_64	OK	Nov 23 2024
R-4.4-win-x86_64	NOTE	Nov 23 2024
R-4.4-mac-x86_64	NOTE	Nov 23 2024
R-4.4-mac-aarch64	NOTE	Nov 23 2024
R-4.3-win-x86_64	NOTE	Nov 23 2024
R-4.3-mac-x86_64	NOTE	Nov 23 2024
R-4.3-mac-aarch64	NOTE	Nov 23 2024

Exports:%>%bond chart_eia_sd chart_eia_steo chart_fwd_curves chart_pairs chart_PerfSummary chart_spreads chart_zscore CRReuro CRROption efficientFrontier eia2tidy eia2tidy_all fitOU garch GBSOption getBoC getCurve getGenscapePipeOil getGenscapeStorageOil getGIS getPrice getPrices npv promptBeta refineryLP returns rolladjust simGBM simMultivariates simOU simOUJ simOUt swapCOM swapFutWeight swapInfo swapIRS tradeStats tradeStrategyDY tradeStrategySMA

Dependencies:anytime askpass base64enc BH bit bit64 bslib cachem class cli clipr clock codetools colorspace cpp11 crayon crosstalk curl data.table diagram digest dplyr ellipsis evaluate fansi farver fastmap fontawesome forcats forecast fracdiff fs furrr future future.apply generics ggplot2 globals glue gower gtable hardhat highr hms htmltools htmlwidgets httr ipred isoband jquerylib jsonlite KernSmooth knitr labeling later lattice lava lazyeval lifecycle listenv lmtest lubridate magrittr MASS Matrix memoise mgcv mime munsell nlme nnet numDeriv openssl padr parallelly PerformanceAnalytics pillar pkgconfig plotly prettyunits prodlim progress progressr promises purrr quadprog quantmod R6 rappdirs RColorBrewer Rcpp RcppArmadillo RcppRoll readr recipes rlang rmarkdown rpart rsample sass scales shape slider SQUAREM stringi stringr survival sys tibble tidyr tidyselect timechange timeDate timetk tinytex tseries tsfeatures tsibble TTR tzdb urca utf8 vctrs viridisLite vroom warp withr xfun xts yaml zoo

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Bond pricing	bond
EIA weekly supply-demand information by product group	chart_eia_sd
EIA Short Term Energy Outlook	chart_eia_steo
Plots historical forward curves	chart_fwd_curves
Pairwise scatter plots for timeseries	chart_pairs
Cumulative performance and drawdown summary.	chart_PerfSummary
Futures contract spreads comparison across years	chart_spreads
Z-Score applied to seasonal data divergence	chart_zscore
metadata for WTI CMA	cma
Cox-Ross-Rubinstein binomial option model	CRReuro
Cox-Ross-Rubinstein Option Pricing Model	CRROption
dataset: crude assays	crudeOil
dataset: WTI Cushing Futures and storage utilization	cushing
dataset: commodity prices in a long dataframe format	dflong
dataset: commodity prices in a wide dataframe format	dfwide
Markowitz Efficient Frontier	efficientFrontier
EIA API call with tidy output	eia2tidy
EIA API multiple calls with tidy output	eia2tidy_all
dataset: EIA weekly stocks	eiaStocks
dataset: EIA working storage capacity	eiaStorageCap
dataset: Eurodollar futures contracts	eurodollar
dataset: expiry of common commodity futures contract.	expiry_table
Fits a Ornstein–Uhlenbeck process to a dataset	fitOU
dataset: randomised physical crude differentials	fizdiffs
dataset: futures contracts metadata	futuresRef
dataset: USDCAD FX forward rates	fxfwd
Wrapper for a Garch(1,1) returning either a plot or data.	garch
Generalized Black-Scholes (GBS) Option Pricing Model	GBSOption
Bank of Canada Valet API	getBoC
Morningstar Commodities API forward curves	getCurve
Genscape API call for oil pipelines	getGenscapePipeOil
Genscape API call for oil storage	getGenscapeStorageOil
Extract and convert GIS data from a URL	getGIS
Morningstar Commodities API single call	getPrice
Morningstar Commodities API multiple calls	getPrices
dataset: NYMEX and ICE holiday calendars	holidaysOil
NPV	npv
dataset: randomiser to convert settlement into OHLC	ohlc
dataset: IR compounding	planets
Computes betas of futures contracts with respect to the 1st line contract	promptBeta
LP model for refinery optimization	refineryLP
dataset: refinery LP model sample inputs and outputs	refineryLPdata
Compute absolute, relative or log returns.	returns
Adjusts daily returns for futures contracts roll	rolladjust
GBM process simulation	simGBM
Multivariate normal from historical dataset	simMultivariates
OU process simulation	simOU
OUJ process simulation	simOUJ
OU process simulation	simOUt
dataset: spot to futures convergence	spot2futConvergence
dataset: spot to futures convergence curve	spot2futCurve
dataset: EIA Short Term Energy Outlook	steo
dataset: Yahoo Finance data sets	stocks
Commodity Calendar Month Average Swaps	swapCOM
Commodity Calendar Month Average Swap futures weights	swapFutWeight
Commodity Swap details to learn their pricing	swapInfo
Interest Rate Swap	swapIRS
datasest: metadata of key EIA tickers grouped by products.	tickers_eia
dataset: Canadian and US physical crude trading calendars	tradeCycle
dataset: GIS locations for crude oil trading hubs	tradeHubs
dataset: data for teaching the various ways to monetize a market call.	tradeprocess
Risk-reward statistics for quant trading	tradeStats
Sample quantitative trading strategy	tradeStrategyDY
Sample quantitative trading strategy	tradeStrategySMA
dataset: interest rate curve data for RQuantlib .	tsQuotes
dataset: US bootstrapped interest rate curve.	usSwapCurves
dataset: US bootstrapped interest rate curve parallel sample.	usSwapCurvesPar
dataset: WTI Calendar Month Average Swap pricing data	wtiSwap