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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 |
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Author | Philipp Erb, David Luethi, Juri Hinz, Simon Otziger |
Maintainer | Marc Weibel <marc.weibel@zhaw.ch> |
License | GPL (>= 2) |
Version | 0.0.6 |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
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