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.

Package details

AuthorPhilipp Erb, David Luethi, Juri Hinz, Simon Otziger
MaintainerMarc Weibel <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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schwartz97 documentation built on May 29, 2017, 12:18 p.m.