Learn R Programming

schwartz97 (version 0.0.6)

A package on the Schwartz two-factor commodity model

Description

This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities.

Copy Link

Version

Install

install.packages('schwartz97')

Monthly Downloads

45

Version

0.0.6

License

GPL (>= 2)

Maintainer

Marc Weibel

Last Published

February 11th, 2014

Functions in schwartz97 (0.0.6)

distribution-state

Schwartz two-factor Model: Distribution of the State Variables
schwartz2f-class-hierarchy

Classes schwartz2f and schwartz2f.fit
futures-data

Daily futures prices
fitted-futures

Extract Model Fitted Values
distribution-futures

Schwartz two-factor Model: Distribution of Futures Prices
schwartz97-package

Two-factor Commodity Model
plot.state-method

Plot Schwartz two-factor trajectories
mean-vcov-methods

Expected value and variance-covariance
plot.fit-method

Plot Schwartz two-factor fit-objects
schwartz97-internal

Internal Schwartz97 Functions
pricing-options

Schwartz two-factor Model: European Option Prices
filter-futures

Schwartz two-factor Model: Filter futures data
schwartz2f-constructor

Create schwartz2f objects
rand-state

Schwartz two-factor Model: Sampling from the State Variables
coef-method

Extract parameters of schwartz2f objects
pricing-futures

Schwartz two-factor Model: Futures Prices
parameter-estimation

Schwartz 1997 two factor parameter estimation
futures-plot

Visualization of Futures Data
resid-futures

Extract Model Residuals