RTL 1.3.7

Enhancement

• spreadOption function added for spread options on European option using Kirk’s approximation.
• barrierSpreadPrice function added for barrier spread options.

Bugs & Fixes

RTL 1.3.6

Enhancement

• getPrice form Morningstar feed = CME_NymexOptionsFinal_EOD

Bugs & Fixes

• tradeCycle and expiry_table updated.

RTL 1.3.5

Enhancement

• fitOU() amended to annualized sigma, adjust theta for periodicity, and return half life of theta.
• Added GBSOption() function for Generalized Black Scholes model.
• Added CRROption() function for CRR model implemented in C++.

Bugs & Fixes

• swapInfo() to date using `lubridate::rollback()’ instead of base R to ensure it works when on the 31st of the month and it does not exist for months + 4.

RTL 1.3.4

Bugs & Fixes

• getCurve() and swapInfo() updated after vendor data table was dropped.
• Update for retirement of rgdal package.

RTL 1.3.3

Bugs & Fixes

• eia2tidy() amended when EIA data returns partial “Not Available” - the EIA returns the value as type character in that case.

Enhancement

• All function documentation of input and output types completed.
• tradeCycle includes number of business days in trade cycles based on Nymex calendar.
• Added Canadian crude ICE contracts expiry in expiry_table.
• cma contains metadata for computation of CME WTI Calendar Month Average swap.

Archived

• discdescplot was archived. Please contact the maintainer if you still require it.

RTL 1.3.2

New

• getBoC() to access the Bank of Canada Valet API.

Enhancement

• Consolidated many data sets into list types.

Bugs & Fixes

• chart_eia_sd() fixed for new EIA API.

RTL 1.3.1

Consolidated many data sets into list types.

New

• eia2tidy() upgraded to version 2 EIA API and eia2tidy_all() added for multiple series extractions.
• futuresRef data set for futures contract month codes and specifications.
• cushingStorage data set for storage spreads analytics example.
• All Yahoo Finance data sets moved to stocks dataset as a list.
• tradeStrategySMA() is an example of a Moving Average crossover strategy.
• tradeStrategyDY() is an example of a dividend yield based strategy. The example is based on the ry data set for Royal Bank of Canada shares on NYSE.
• All crude oil assays consolidated into crudeOil data set as a list item.

Enhancement

• chart_spreads() amended to show properly contract pairs that have not expired.
• simMultivariates() and efficientFrontier() correlation method moved to “kendall”.
• simGBM() output with added variable t for time and performance improved.

Bugs & Fixes

Remove

• cancrudeassayssum removed and replaced by existing cancrudeassays.

RTL 1.2.0

New

• simMultivariates() generates multivariate normal random epsilons from a a historical data set.
• efficientFrontier() generates Markowitz mean-variance portfolios for commodities assets i.e. risk and reward not in percentages.
• simOU() augmented with an extra parameter epsilon in case your simulation is part of a multivariate simulation.

Bugs & Fixes

• UTF characters in crudeassaysBP.

RTL 1.1.0

New

• tradeHubs contains GIS coordinates for major crude oil trading hubs in North America.
• tsQuotes dataset for use with RQuantLib::DiscountCurve().
• simOUt() implements simOU() with a mean reversion level as a function of time.

Enhancement

• simGBM() vectorized.
• simOU(), simOUt() and simOUJ() implemented in Rcpp - see ./src/rcpp*.cpp
• Added Mont Belvieu and TMX Burnaby to tradeHubs.

Bugs & Fixes

• Remove dependencies to tidyquant::tq_get().
• chart_zscore() time axis fixed.

Remove

• ‘ir_df_us()’ removed as it uses quandl for interest rates. Use RTL::ir_df_us data set instead.

Updates

• expiry_table updated and now includes LTH and HG CME contracts.
• Removed usSwapIR and getIRswapCurve() as data is no longer available after discontinuation of LIBOR fixes..

RTL 1.0.0

Bugs & Fixes

• eia2tidy() makes requests over https instead of http as API now requires it.

Package Structure

• Normalizing version control to first stable version.
• Tidy package documentation to standards.
• testthat implemented for metadata checks.

RTL 0.1.91

• Fixed a minor bug in tradeCycle dates for Canadian Crude.

RTL 0.1.9

Updates

• dfwide retains the NA so as not to reduce scope where all tickers have data.
• eiaStorageCap now includes Lower 48 States Working Natural Gas Total Underground Storage Capacity.
• chart_fwd_curves() vectorized.
• Added storage capacity to eiaStorageCap data set for PADD1 middle and light distillates as a proxy for NYH.
• tradeCycle updated for 2022 Canadian Notice of Shipments and US Domestic crude calendar added.
• rolladjust() updated with CME Canadian crude calendar cmdty == “cmecan”.
• chart_eia_steo() inventory imbalance subplot updated to a line fill type for better visibility.

Bugs & Fixes

• Fixed promptBeta() period input.
• getPrices() merging with all = TRUE.

Deprecated

• stl_decomp() has been removed.

RTL 0.1.8

Updates and Fixes

• tradestats partially migrated to tidyquant from quantmod.
• getCurve() updated for LME and SHFE feeds.
• fxfwd dataset created for USD/CAD FX forwards.
• eurodollar dataset created for eurodollar future contract.
• rmp dataset created for Producer Hedging project.
• dflong and dflong datasets now contain CME Aluminium prices.

RTL 0.1.7

New

• Added the following feeds to Morningstar API function getPrice():
  • AESO_ForecastAndActualPoolPrice
  • Send email to pcote@ualberta.ca if you wish to add more feeds.
• getGIS() to obtain a object from a shapefile URL. The datasets below were removed and can be recreated as follows:
  • crudepipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/CrudeOil_Pipelines_US_EIA.zip")
  • refineries <- getGIS(url = "https://www.eia.gov/maps/map_data/Petroleum_Refineries_US_EIA.zip")
  • productspipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Pipelines_US_EIA.zip")
  • productsterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
  • ngpipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_InterIntrastate_Pipelines_US_EIA.zip")
  • ngstorage <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
  • nghubs <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_TradingHubs_US_EIA.zip")
  • lngterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/Lng_ImportExportTerminals_US_EIA.zip")

Updates and Fixes

• expiry_table updated for expiries + Yahoo Finance tickers to pull using tidyquant::tq_get().
• eiaStorageCap: EIA crude storage capacity by PADD.

Removed

• None.

RTL 0.1.6

New

• Genscpae API interface added for getGenscapeStorageOil() and getGenscapePipeOil().
• Added the following feeds to Morningstar API function getPrice():
  • ERCOT_LmpsByResourceNodeAndElectricalBus
  • PJM_Rt_Hourly_Lmp
  • Send email to pcote@ualberta.ca if you wish to add more feeds.

Updates and Fixes

• chart_spreads conversion armument now a vector allowing for different conversion e.g. crack spreads.
• Updated cancrudeassays dataset. Removed AHS, WCB and SYN grades.
• chart_zscore() amended. Output stats returns statistical tests and res fitted results.
• promptBeta() removed output stats.
• Updated usSwapIR, usSwapCurves with rates as of 2020-12-31.
• tradeCycle table updated for Canadian crude oil 2021 calendar. Source: COLC.
• getPrice fixed to return Settle instead of Open when feed=CME_NymexOptions_EOD.

Removed

RTL 0.1.5

New

• chart_spreads() to generate specific contract spreads across years e.g. ULSD March/April. Requires Morninstar credentials.

• Morningstar feeds:

  • CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.
  • LME_AskBidPrices_Delayed.
  • SHFE_FuturesSettlement_RT.
  • EIA GIS data sets ngpipelines, ngstorage, nghubs, lngterminals.

Updates and Fixes

• eia2tidy() amended for quarterly and hourly data.
• Morningstar tickers for getPrice() and getPrices() functions.
• promptBeta() chart moved to plotly.

Removed

RTL 0.1.4

New

• getCurve() added to extract OHLC futures contract forward curves from Morningstar.
• chart_eia_steo() returns a Supply/Demand balance from the EIA STEO data set. Currently configured for Global Liquids and will be augmented for US Crude, Light and Middle Distillates.
• chart_eia_sd() returns Supply/Demand balance from the EIA weekly data for mogas, distillates, jet and resids.
• tickers_eia table updated to build Supply Demand Balances for US products.
• Datasets ref.opt.inputs and ref.opt.outputs to support refinery LP optimization education using lpSolve package.
• swapFutWeight() returns the % applied to the first line contract in Calendar Month Average commodity swaps when two futures contracts are involved e.g. WTI. It uses the proper NYMEX or ICE holiday calendars and fit for purpose for building trading sheets.
• swapInfo() returns all information required to price first line futures contract averaging swap or CMA physical trade, including a current month instrument with prior settlements.

Updates and Fixes

• eia2tidy() fix for key variable in function.
• crudes dataset updated.

Removed

• twtrump and twoott tweets datasets for learning NLP.

RTL 0.1.3

• eia2tidy() removed dependency to EIAdata package.
• chart_pairs() funtion added to render plotly pairs chart for time series.
• Summarised statistics dataset cancrudeassayssum for Canadian Crude assays.
• Crude oil qualities dataset crudes from crudemonitor.ca and BP Assays.
• Sample GIS data sets for North American refineries and crudepipelines.
• Added eiaStocks and eiaStorageCap data sets.
• Upgrade for dplyr 1.0.0.
• Sample data sets dflong and dfwide updated.
• Added crudeassaysXOM as a list for complete public assays from ExxonMobil.
• Added planets data for interest rate exercises.

RTL 0.1.1

• RTL rebuilt to CRAN standards and published.