MSFC-class: An S4 class for the Maximum Smoothness Forward Curve (MSFC)...

Description Slots

Description

An S4 class for the Maximum Smoothness Forward Curve (MSFC) in etrm

Slots

Name

A string with the acronym for Maximum Smoothness Forward Curve, "MSFC"

TradeDate

The trading date

BenchSheet

A data frame with futures contracts selected for calculation with MSFC computed prices

Polynomials

The number of polynomials in the MSFC spline

PriorFunc

A numeric vector with the prior function values

Results

A data frame with daily values for the calculated MSFC and contracts in "BenchSheet"

SplineCoef

List with coefficients for the polynomials in the MSFC spline

KnotPoints

Vector with spline knot points

CalcDat

Data frame extending "Results" with daily values for time vectors and polynomial coefficients used in calculation


sleire/etrm documentation built on Dec. 17, 2020, 8:05 a.m.