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.
|Author||Philipp Erb, David Luethi, Juri Hinz, Simon Otziger|
|Maintainer||Marc Weibel <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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