fitOU

Parameter estimation for Ornstein–Uhlenbeck process using OLS

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>.

Philippe Cote

Risk Tool Library - Trading, Risk, Analytics for Commodities

Nima Safaian

fitOU function

<dl><dt>spread</dt>
<dd>Spread time series. <code>tibble</code></dd>
<dt>dt</dt>
<dd>Time step size in fractions of a year. Default is 1/252.</dd></dl>

Arguments

Author

Fits a Ornstein–Uhlenbeck process to a dataset — fitOU

<dl>

<dt>spread</dt>
<dd>Spread time series. <code>tibble</code></dd>


<dt>dt</dt>
<dd>Time step size in fractions of a year. Default is 1/252.</dd>

</dl>

fitOU: Fits a Ornstein–Uhlenbeck process to a dataset

Description

Usage

Value

Arguments

Author

Examples