schwartz97: A package on the Schwartz two-factor commodity model

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.

Install the latest version of this package by entering the following in R:
install.packages("schwartz97")
AuthorPhilipp Erb, David Luethi, Juri Hinz, Simon Otziger
Date of publication2014-02-11 12:32:43
MaintainerMarc Weibel <marc.weibel@zhaw.ch>
LicenseGPL (>= 2)
Version0.0.6

View on CRAN

Functions

.A.schwartz2f Man page
.B.schwartz2f Man page
.clean.rda.data Man page
coefficients,schwartz2f.fit-method Man page
coefficients,schwartz2f-method Man page
coef.schwartz2f Man page
coef.schwartz2f.fit Man page
coef,schwartz2f.fit-method Man page
coef,schwartz2f-method Man page
dfutures Man page
dfutures,ANY,ANY,ANY,numeric-method Man page
dfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
dfutures,ANY,ANY,ANY,schwartz2f-method Man page
dstate Man page
dstate,ANY,ANY,numeric-method Man page
dstate,ANY,ANY,schwartz2f-method Man page
filter.schwartz2f Man page
filter.schwartz2f,ANY,ANY,numeric-method Man page
filter.schwartz2f,ANY,ANY,schwartz2f.fit-method Man page
filter.schwartz2f,ANY,ANY,schwartz2f-method Man page
fit.schwartz2f Man page
fitted.schwartz2f.fit Man page
fitted,schwartz2f.fit-method Man page
futures Man page
futures-data Man page
futuresplot Man page
.get.data Man page
mean-methods Man page
mean.schwartz2f Man page
mean,schwartz2f-method Man page
.mu.fut.schwartz2f Man page
.mu.state.schwartz2f Man page
pfutures Man page
pfutures,ANY,ANY,ANY,numeric-method Man page
pfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
pfutures,ANY,ANY,ANY,schwartz2f-method Man page
plot-fit-methods Man page
plot.schwartz2f Man page
plot.schwartz2f.fit Man page
plot,schwartz2f.fit,missing-method Man page
plot,schwartz2f,missing-method Man page
plot-state-methods Man page
pricefutures Man page
pricefutures,ANY,numeric-method Man page
pricefutures,ANY,schwartz2f.fit-method Man page
pricefutures,ANY,schwartz2f-method Man page
priceoption Man page
priceoption,ANY,ANY,ANY,ANY,numeric-method Man page
priceoption,ANY,ANY,ANY,ANY,schwartz2f.fit-method Man page
priceoption,ANY,ANY,ANY,ANY,schwartz2f-method Man page
pstate Man page
pstate,ANY,ANY,ANY,numeric-method Man page
pstate,ANY,ANY,ANY,schwartz2f-method Man page
qfutures Man page
qfutures,ANY,ANY,ANY,numeric-method Man page
qfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
qfutures,ANY,ANY,ANY,schwartz2f-method Man page
qstate Man page
qstate,ANY,ANY,numeric-method Man page
qstate,ANY,ANY,schwartz2f-method Man page
resid.schwartz2f.fit Man page
resid,schwartz2f.fit-method Man page
rfutures Man page
rfutures,ANY,ANY,ANY,numeric-method Man page
rfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
rfutures,ANY,ANY,ANY,schwartz2f-method Man page
rstate Man page
rstate,ANY,ANY,numeric-method Man page
rstate,ANY,ANY,schwartz2f-method Man page
schwartz2f Man page
schwartz2f-class Man page
schwartz2f.fit Man page
schwartz2f.fit-class Man page
schwartz97 Man page
schwartz97-package Man page
show.schwartz2f Man page
show.schwartz2f.fit Man page
show,schwartz2f.fit-method Man page
show,schwartz2f-method Man page
.sigma.fut.schwartz2f Man page
.sigma.state.schwartz2f Man page
.sim.futures Man page
simstate Man page
simstate,ANY,ANY,numeric-method Man page
simstate,ANY,ANY,schwartz2f-method Man page
vcov-methods Man page
vcov.schwartz2f Man page
vcov,schwartz2f-method Man page

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.