schwartz97internals: Internal Schwartz97 Functions

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

Description

Internal “Schwartz97” functions. These functions are not to be called by the user.

Usage

.clean.rda.data(tmp.list, idx = 1:6)

.get.data(data, type = c("uv", "mv"))

.mu.state.schwartz2f(x0, delta0, mu, sigmaS, kappa,
                     alpha, sigmaE, rho, time, as.mat = FALSE)

.sigma.state.schwartz2f(sigmaS, kappa, sigmaE, rho, time)

.A.schwartz2f(kappa, sigmaS, sigmaE, rho, alphaT, r, ttm)

.B.schwartz2f(kappa, ttm)

.mu.fut.schwartz2f(x0, delta0, mu, sigmaS, kappa, sigmaE, rho,
                   alpha, alphaT, r, time, ttm, measure = "P")

.sigma.fut.schwartz2f(sigmaS, kappa, sigmaE, rho, time, ttm)

.sigma.opt.schwartz2f(time, Time, kappa, sigmaS, sigmaE, rho)

.sim.futures(time, dt, ttm = NA, obj = schwartz2f(), r = 0.03, lambda = 0, sd = 0.01)

Details

.clean.rda.data
Removes NAs from the internal futures data sets. This is needed in order to fit parameters to the data.

.get.data
Check whether data is of a particular format and return a clean version of data.

.mu.state.schwartz2f
Computes the mean vector of the jointly normally distributed state variables of the Schwartz two-factor model. The state variables are the spot log-price and the spot convenience yield.

.sigma.state.schwartz2f
Computes the covariance matrix of the jointly normally distributed state variables of the Schwartz two-factor model. The state variables are the spot log-price and the spot convenience yield.

.A.schwartz2f
Computes the deterministic component A(t,T) of the affine futures term-structure.

.B.schwartz2f
Computes the deterministic component B(t,T) of the affine futures term-structure.

.mu.fut.schwartz2f
Computes the parameter mu of the futures price log-normal distribution.

.sigma.fut.schwartz2f
Computes the parameter sigma of the futures price log-normal distribution.

.sigma.opt.schwartz2f
Computes the sigma for the options formula.

.sim.futures
Simulate futures prices and overlay with noise. This function is used to test fit.schwartz2f.

Author(s)

Philipp Erb, David Luethi, Juri Hinz

schwartz97 documentation built on May 29, 2017, 12:18 p.m.