schwartz97 (version 0.0.6)

coef-method: Extract parameters of schwartz2f objects

Description

The function coef returns parameters of schwartz2f and a schwartz2f.fit objects as a list. The function coefficients is an alias for coef.

Usage

"coef"(object)
"coefficients"(object)
"coef"(object)
"coefficients"(object)

Arguments

object

An object from class schwartz2f or schwartz2f.fit.

Value

If object is of class schwartz2f:

s0

Commodity spot price.

delta0

Convenience yield.

mu

Drift parameter of the spot price process.

sigmaS

Diffusion parameter of the spot price process.

kappa

Speed of mean-reversion of the convenience yield process.

alpha

Mean-level of the convenience yield process.

sigmaE

Diffusion parameter of the convenience yield process.

rho

Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.

If object is of class schwartz2f.fit:

s0

Commodity spot price.

delta0

Convenience yield.

mu

Drift parameter of the spot price process.

sigmaS

Diffusion parameter of the spot price process.

kappa

Speed of mean-reversion of the convenience yield process.

alpha

Mean-level of the convenience yield process.

sigmaE

Diffusion parameter of the convenience yield process.

rho

Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.

r

Instantaneous risk-free interest rate.

lambda

Market price of convenience yield risk.

alphaT

Mean-level of the convenience yield process with respect to the equivalent martingale measure.

The model and its parameters are described in the Details section of the schwartz2f-class documentation and in the package vignette Technical Document.

See Also

schwartz2f classes.

Examples

# ## coef-method for schwartz2f-objects:
# coef(schwartz2f())
# 
# ## coef-method for schwartz2f.fit-objects:
# ## Estimate parameters for soybean oil (but stop after 3 iterations).
# data(futures)
# fit.obj <- fit.schwartz2f(futures$soybean.oil$price, futures$soybean.oil$ttm / 260,
#                           deltat = 1 / 260, control = list(maxit = 3))
# coef(fit.obj)