Comparing Futures vs Spot Prices for WTI Crude Oil

1spotVsFutures <- function(file1,cl_future){
2  
3  oilSpot <- read.csv(file1,stringsAsFactors = FALSE)
4  oilFuture <- cl_future
5  # Retrieve the first and last date from oilSpot dataframe
6  first_date <- oilSpot$date[1]
7  last_date <- tail(oilSpot$date,1)
8  
9  # Subset the CME_CL_Data_ by the first date and last date of oilSpot data in order 
10  # to have both series with same dates
11  CL <- subset(CME_CL_Data_,Date >= first_date & Date <= last_date)
12  # Calculate returns of both series
13  future_returns <- diff(log(CL$Last))
14  spot_returns <- diff(log(oil_spot$value))
15  # Make a dataframe with the returns of both series
16  df <- data.frame(cbind(spot_returns,future_returns))
17  # Obtain the standard deviation and the Interquartile Range for both returns series.
18  IQRSpot <- round(IQR(df$spot_returns),6)
19  IQRFuture <- round(IQR(df$future_returns),6)
20  SDFuture <- round(sd(df$future_returns),6)
21  SDSpot <- round(sd(df$spot_returns),6)
22  cat('Interquartile Range for spot and future returns of WTI are', c(IQRSpot,IQRFuture))
23  cat('\n')
24  cat('Standard Deviation for spot and future returns of WTI are', c(SDSpot,SDFuture))
25  
26}
27

1file1 <- "C:/Users/Nicolas/Documents/Derivatives with R/OilSpot/wti-crude-oil-prices-10-year-daily-chart.csv"
2
3spotVsFutures(file1,CME_CL_Data_)
4