schwartz97pricefutures: Schwartz two-factor Model: Futures Prices
In schwartz97: A package on the Schwartz two-factor commodity model

Description Usage Arguments Details Value Author(s) References See Also Examples

Compute arbitrage-free futures prices.

## S4 method for signature 'ANY,numeric'
pricefutures(ttm = 1, s0 = 50, delta0 = 0, sigmaS = 0.3,
             kappa = 1, alpha = 0, sigmaE = 0.5, rho = 0.75,
             r = 0.03, lambda = 0, alphaT = NULL)

## S4 method for signature 'ANY,schwartz2f'
pricefutures(ttm = 1, s0, r = 0.03,
             lambda = 0, alphaT = NULL)

## S4 method for signature 'ANY,schwartz2f.fit'
pricefutures(ttm = 1, s0)

`ttm`	Time to maturity.
`s0`	Either a `numeric` representing the initial value of the commodity spot price or an object inheriting from class `schwartz2f`.
`delta0`	Initial value of the convenience yield.
`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.
`r`	Instantaneous risk-free interest rate.
`lambda`	Market price of convenience yield risk (see Details).
`alphaT`	Mean-level of the convenience yield process with respect to the equivalent martingale measure (see Details).

The model and its parameters are described in the Details section of the schwartz2f-class documentation and in the package vignette Technical Document.

A numeric containing futures prices.

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

Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot by Jimmy E. Hilliard and Jorge Reis
Journal of Financial and Quantitative Analysis 33, 1998, 61-86

priceoption to price options, d/p/q/rfutures to work with futures, schwartz2f-constructor, fit.schwartz2f for parameter estimation, futures-data.

# ## function call by atomic arguments
# forward.curve <- pricefutures(ttm = 0.2 * 1:10, s0 = 10, delta0 = 0,
#                               alpha = 0, lambda = 0.02, r = 0)
# plot(forward.curve, type = "b")
# 
# ## function call via schwartz2f-object. 
# obj <- schwartz2f(delta0 = 0, sigmaE = 1e-5) # Make convenience yield inactive
# forward.curve <- pricefutures(ttm = 0.2 * 1:10, s0 = obj, r = 0, alphaT = 0)
# plot(forward.curve, type = "b")