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.

AuthorPhilipp Erb, David Luethi, Juri Hinz, Simon Otziger
Date of publication2014-04-22 13:35:48
MaintainerDavid Luethi <luethid@gmail.com>
LicenseGPL (>= 2)
Version0.0.4

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Files in this package

schwartz97/ChangeLog
schwartz97/DESCRIPTION
schwartz97/Fixme
schwartz97/NAMESPACE
schwartz97/R
schwartz97/R/schwartz97classes.R schwartz97/R/schwartz97fit.R schwartz97/R/schwartz97generics.R schwartz97/R/schwartz97internals.R schwartz97/R/schwartz97methods.R schwartz97/R/schwartz97pricing.R
schwartz97/data
schwartz97/data/datalist
schwartz97/data/futures.rda
schwartz97/inst
schwartz97/inst/doc
schwartz97/inst/doc/SpotCommodity.bib
schwartz97/inst/doc/TechnicalDocument.Rnw
schwartz97/inst/doc/UserGuide.Rnw
schwartz97/inst/unitTests
schwartz97/inst/unitTests/Makefile
schwartz97/inst/unitTests/runit.futures.R
schwartz97/inst/unitTests/runit.methods.R
schwartz97/inst/unitTests/runit.option.R
schwartz97/inst/unitTests/runit.pricing.R
schwartz97/inst/unitTests/runit.spot.R
schwartz97/man
schwartz97/man/schwartz97classes.Rd schwartz97/man/schwartz97coef-method.Rd schwartz97/man/schwartz97constructor.Rd schwartz97/man/schwartz97distrfut.Rd schwartz97/man/schwartz97distrstate.Rd schwartz97/man/schwartz97filter.Rd schwartz97/man/schwartz97fitted.Rd schwartz97/man/schwartz97fitting.Rd schwartz97/man/schwartz97futures-data.Rd schwartz97/man/schwartz97futures-plot.Rd schwartz97/man/schwartz97internals.Rd schwartz97/man/schwartz97meanvcov.Rd schwartz97/man/schwartz97package.Rd schwartz97/man/schwartz97plotfit.Rd schwartz97/man/schwartz97plotstate.Rd schwartz97/man/schwartz97pricefutures.Rd schwartz97/man/schwartz97priceoption.Rd schwartz97/man/schwartz97randstate.Rd schwartz97/man/schwartz97resid.Rd
schwartz97/tests
schwartz97/tests/doRUnit.R

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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