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

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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.

Author
Philipp Erb, David Luethi, Juri Hinz, Simon Otziger
Date of publication
2014-02-11 12:32:43
Maintainer
Marc Weibel <marc.weibel@zhaw.ch>
License
GPL (>= 2)
Version
0.0.6

View on CRAN

Man pages

schwartz97classes
Classes schwartz2f and schwartz2f.fit
schwartz97coef-method
Extract parameters of schwartz2f objects
schwartz97constructor
Create schwartz2f objects
schwartz97distrfut
Schwartz two-factor Model: Distribution of Futures Prices
schwartz97distrstate
Schwartz two-factor Model: Distribution of the State...
schwartz97filter
Schwartz two-factor Model: Filter futures data
schwartz97fitted
Extract Model Fitted Values
schwartz97fitting
Schwartz 1997 two factor parameter estimation
schwartz97futures-data
Daily futures prices
schwartz97futures-plot
Visualization of Futures Data
schwartz97internals
Internal Schwartz97 Functions
schwartz97meanvcov
Expected value and variance-covariance
schwartz97package
Two-factor Commodity Model
schwartz97plotfit
Plot Schwartz two-factor fit-objects
schwartz97plotstate
Plot Schwartz two-factor trajectories
schwartz97pricefutures
Schwartz two-factor Model: Futures Prices
schwartz97priceoption
Schwartz two-factor Model: European Option Prices
schwartz97randstate
Schwartz two-factor Model: Sampling from the State Variables
schwartz97resid
Extract Model Residuals

Files in this package

schwartz97
schwartz97/inst
schwartz97/inst/doc
schwartz97/inst/doc/UserGuide.pdf
schwartz97/inst/doc/UserGuide.Rnw
schwartz97/inst/doc/TechnicalDocument.pdf
schwartz97/inst/doc/UserGuide.R
schwartz97/inst/doc/TechnicalDocument.Rnw
schwartz97/inst/unitTests
schwartz97/inst/unitTests/reportSummary.txt
schwartz97/inst/unitTests/Makefile
schwartz97/inst/unitTests/runit.methods.R
schwartz97/inst/unitTests/runit.spot.R
schwartz97/inst/unitTests/report.html
schwartz97/inst/unitTests/report.txt
schwartz97/inst/unitTests/runit.option.R
schwartz97/inst/unitTests/runit.futures.R
schwartz97/inst/unitTests/runit.pricing.R
schwartz97/tests
schwartz97/tests/doRUnit.R
schwartz97/NAMESPACE
schwartz97/demo
schwartz97/demo/schwartz97-Ex.R
schwartz97/demo/00Index
schwartz97/data
schwartz97/data/futures.rda
schwartz97/data/datalist
schwartz97/R
schwartz97/R/schwartz97internals.R
schwartz97/R/schwartz97classes.R
schwartz97/R/schwartz97methods.R
schwartz97/R/schwartz97generics.R
schwartz97/R/schwartz97fit.R
schwartz97/R/schwartz97pricing.R
schwartz97/vignettes
schwartz97/vignettes/UserGuide.Rnw
schwartz97/vignettes/TechnicalDocument.Rnw
schwartz97/vignettes/SpotCommodity.bib
schwartz97/MD5
schwartz97/build
schwartz97/build/vignette.rds
schwartz97/DESCRIPTION
schwartz97/ChangeLog
schwartz97/man
schwartz97/man/schwartz97filter.Rd
schwartz97/man/schwartz97pricefutures.Rd
schwartz97/man/schwartz97plotfit.Rd
schwartz97/man/schwartz97plotstate.Rd
schwartz97/man/schwartz97distrfut.Rd
schwartz97/man/schwartz97constructor.Rd
schwartz97/man/schwartz97fitting.Rd
schwartz97/man/schwartz97futures-plot.Rd
schwartz97/man/schwartz97meanvcov.Rd
schwartz97/man/schwartz97randstate.Rd
schwartz97/man/schwartz97distrstate.Rd
schwartz97/man/schwartz97priceoption.Rd
schwartz97/man/schwartz97internals.Rd
schwartz97/man/schwartz97futures-data.Rd
schwartz97/man/schwartz97resid.Rd
schwartz97/man/schwartz97package.Rd
schwartz97/man/schwartz97fitted.Rd
schwartz97/man/schwartz97coef-method.Rd
schwartz97/man/schwartz97classes.Rd