CN.Oil: CN.Oil Dataset: Crude Oil Futures pricing and modeling Data...
In TomAspinall/TSE: N-Factor Commodity Pricing Models

Description Usage Format References

The CN.Oil list object features the approximate futures contract data utilized within the work of Cortazar and Naranjo (2006) titled: "An N-Factor Gaussian Model Of Oil Futures Prices" as well as commodity pricing models presented within this study.

1	data(CN.Oil)

A list Containing five objects:

dt: dt The discrete daily time step used for parameter estimation of an N-factor model. The discrete time step is 1/262, which relates to 5 business days per week (ie. no trading on weekends).
Panel.A: Objects relating to "Panel A" of the Cortazar and Naranjo (2006) study. Panel A considered all futures contracts traded between 1992 and 2001. In the study of Cortazar and Naranjo (2006), this corresponded to 70,584 observations, however the Panel A Contracts object consists of 387,772 observations.
Panel.B: Objects relating to "Panel B" of the Cortazar and Naranjo (2006) study. Panel B considered all futures contracts traded between 1992 and 1996. In the study of Cortazar and Naranjo (2006), this corresponded to 30,424 observations, however the Panel B Contracts object consists of 113,850 observations.
Panel.C: Objects relating to "Panel C" of the Cortazar and Naranjo (2006) study. Panel C considered all futures contracts traded between 1997 and 2001. In the study of Cortazar and Naranjo (2006), this corresponded to 40,160 observations, however the Panel C Contracts object consists of 117,782 observations.
Panel.D: Objects relating to "Panel D" of the Cortazar and Naranjo (2006) study. Panel D considered all futures contracts traded between 2002 and 2004. In the study of Cortazar and Naranjo (2006), this corresponded to 24,297 observations, however the Panel D Contracts object consists of 52,430 observations.

Each of the Panel data objects within CN.Oil are lists that contain the following objects:

Contracts: A data frame consisting of quoted daily prices of Futures contracts.
Spot: A vector consisting of quoted spot prices of Crude Oil. Spot prices relate to the price of a futures contract that expires at the end of that particular trading day.
Final.Trading.Days: A named vector listing the final trading days of each observed futures contract, with each element of Final.Trading.Days corresponding to a column within the respective panel's Contracts data frame.
maturity.matrix: A data frame with identical dimensions to the Contracts data frame. This data frame lists the time to maturity of a given futures contract in years at each observation point. This is identical to the number of business days between the observed date and the final trading day of a particular futures contract. The maturity matrix assumes 262 trading days a year.
Once.Factor: The parameters of the one-factor estimated model as presented within the work of Cortazar and Naranjo (2006)
Two.Factor: The parameters of the two-factor estimated model as presented within the work of Cortazar and Naranjo (2006)
Three.Factor: The parameters of the three-factor estimated model as presented within the work of Cortazar and Naranjo (2006)
Four.Factor: The parameters of the four-factor estimated model as presented within the work of Cortazar and Naranjo (2006)

Cortazar, G., and L. Naranjo, (2006). An N-factor Gaussian model of oil futures prices. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 26(3), 243-268.

TomAspinall/TSE documentation built on Jan. 7, 2021, 7:43 p.m.