Hi Edouard- not at present, at least not that I'm aware of. I used to
work as a consultant for energy clients, and I used R for a lot of
analysis and presentations. I remember searching for similar packages as
little as 6 months ago. As far as I can tell, the basic tools for
valuing options on forwards and futures are all there in R anyway, as
are the statistical tools you'll need for data-mining (not, of course,
that this is an endorsement of data-mining).

However, if you're looking for things like forward-curve builders and
swing option valuation routines, I don't think those exist yet. There
are some tools that I've got lying around that I've been meaning to
convert into R-based functions, but I've never quite gotten around to
it.

As for using R in a commercial environment for energy and commodity
trading- the people you want to talk to are all at Constellation Energy.
Back when I knew him, their head of risk management was/is a huge fan of
R. They use(d) it for all of their data analysis and much of their
valuations.

I hope that helps.

Best regards,

Sarbo

On Sat, 2010-02-13 at 15:50 -0500, Edouard Tallent wrote:

> hi everyone. 
> 
> is there any special R package to deal with commodities futures ? 
> 
> anyone interested in sharing knowledge, experience on the
> implementation of trading strategies on commodities futures markets
> (energy, softs) with R ? 
> 
> cheers, 
> edouard. 
> 
> "spreads for life" 
> 
> 
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