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

This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities.

Getting started

Package details

AuthorPhilipp Erb, David Luethi, Juri Hinz, Simon Otziger
MaintainerDavid Luethi <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("schwartz97", repos="")

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schwartz97 documentation built on May 31, 2017, 3:59 a.m.