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This package provides detailed functionality for working with the Schwartz 1997 twofactor 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 


Author  Philipp Erb, David Luethi, Juri Hinz, Simon Otziger 
Date of publication  20140211 12:32:43 
Maintainer  Marc Weibel <marc.weibel@zhaw.ch> 
License  GPL (>= 2) 
Version  0.0.6 
Package repository  View on CRAN 
Installation 
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