Description Usage Arguments Details Value Author(s) References See Also Examples
Create objects of class schwartz2f
.
1 2 | schwartz2f(s0 = 100, delta0 = 0, mu = 0.1, sigmaS = 0.3,
kappa = 1, alpha = 0, sigmaE = 0.3, rho = 0.5)
|
s0 |
Initial value of the commodity spot price. |
delta0 |
Initial value of the convenience yield. |
mu |
enters the drift of the commodity spot price. |
sigmaS |
Diffusion parameter of the spot price-process. |
kappa |
Speed of mean-reversion of the convenience yield process. |
alpha |
Mean-level of the convenience yield process. |
sigmaE |
Diffusion parameter of the convenience yield process. |
rho |
Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process. |
The dynamics of the Schwartz two-factor model is explained in the
schwartz2f
class documentation or in
the package vignette in the doc-folder.
An object of class schwartz2f
.
Philipp Erb, David Luethi, Juri Hinz
The Stochastic Behavior of Commodity Prices: Implications for
Valuation and Hedging by Eduardo S. Schwartz
Journal of Finance
52, 1997, 923-973
fit.schwartz2f
for parameter estimation.
d/p/q/r/simstate
for the density, distribution,
and quantile function of the state variables and random number
generation. plot
-method for
schwartz2f
-objects.
1 2 3 4 5 6 7 8 9 10 | # ## Initialize a 'schwartz2f' object with high convenience yield volatility:
# obj <- schwartz2f(sigmaE = 0.7)
#
# plot(obj) # plot it
#
# rstate(10, time = 1, s0 = obj) # generate 10 random variates.
#
# ## Get the probability of the event 'the spot price is >= 100 and the
# ## convenience yield is >= 0':
# pstate(c(0, -Inf), c(100, 0), time = 10, s0 = obj)
|
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