schwartz97: A package on the Schwartz two-factor commodity model
Version 0.0.4

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.

Browse man pages Browse package API and functions Browse package files

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
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("schwartz97", repos="http://R-Forge.R-project.org")

Man pages

schwartz97classes: Classes schwartz2f and schwartz2f.fit
schwartz97coef-method: Extract parameters of schwartz2f objects
schwartz97constructor: Create schwartz2f objects
schwartz97distrfut: Schwartz two-factor Model: Distribution of Futures Prices
schwartz97distrstate: Schwartz two-factor Model: Distribution of the State...
schwartz97filter: Schwartz two-factor Model: Filter futures data
schwartz97fitted: Extract Model Fitted Values
schwartz97fitting: Schwartz 1997 two factor parameter estimation
schwartz97futures-data: Daily futures prices
schwartz97futures-plot: Visualization of Futures Data
schwartz97internals: Internal Schwartz97 Functions
schwartz97meanvcov: Expected value and variance-covariance
schwartz97package: Two-factor Commodity Model
schwartz97plotfit: Plot Schwartz two-factor fit-objects
schwartz97plotstate: Plot Schwartz two-factor trajectories
schwartz97pricefutures: Schwartz two-factor Model: Futures Prices
schwartz97priceoption: Schwartz two-factor Model: European Option Prices
schwartz97randstate: Schwartz two-factor Model: Sampling from the State Variables
schwartz97resid: Extract Model Residuals

Functions

.A.schwartz2f Man page
.B.schwartz2f Man page
.clean.rda.data Man page
.get.data Man page
.mu.fut.schwartz2f Man page
.mu.state.schwartz2f Man page
.sigma.fut.schwartz2f Man page
.sigma.state.schwartz2f Man page
.sim.futures Man page
A.schwartz2f Source code
B.schwartz2f Source code
check.lengths Source code
clean.rda.data Source code
coef,schwartz2f-method Man page
coef,schwartz2f.fit-method Man page
coef.schwartz2f Man page Source code
coef.schwartz2f.fit Man page Source code
coefficients,schwartz2f-method Man page
coefficients,schwartz2f.fit-method Man page
dfutures Man page
dfutures,ANY,ANY,ANY,numeric-method Man page
dfutures,ANY,ANY,ANY,schwartz2f-method Man page
dfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
dfutures.default Source code
dfutures.schwartz2f Source code
dfutures.schwartz2f.fit Source code
dstate Man page
dstate,ANY,ANY,numeric-method Man page
dstate,ANY,ANY,schwartz2f-method Man page
dstate.default Source code
dstate.schwartz2f Source code
filter.schwartz2f Man page
filter.schwartz2f,ANY,ANY,numeric-method Man page
filter.schwartz2f,ANY,ANY,schwartz2f-method Man page
filter.schwartz2f,ANY,ANY,schwartz2f.fit-method Man page
filter.schwartz2f.default Source code
filter.schwartz2f.schwartz2f Source code
filter.schwartz2f.schwartz2f.fit Source code
fit.schwartz2f Man page Source code
fitted,schwartz2f.fit-method Man page
fitted.schwartz2f.fit Man page Source code
futures Man page
futures-data Man page
futuresplot Man page Source code
get.data Source code
mean,schwartz2f-method Man page
mean-methods Man page
mean.schwartz2f Man page Source code
mu.fut.schwartz2f Source code
mu.state.schwartz2f Source code
pfutures Man page
pfutures,ANY,ANY,ANY,numeric-method Man page
pfutures,ANY,ANY,ANY,schwartz2f-method Man page
pfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
pfutures.default Source code
pfutures.schwartz2f Source code
pfutures.schwartz2f.fit Source code
plot,schwartz2f,missing-method Man page
plot,schwartz2f.fit,missing-method Man page
plot-fit-methods Man page
plot-state-methods Man page
plot.schwartz2f Man page Source code
plot.schwartz2f.fit Man page Source code
pricefutures Man page
pricefutures,ANY,numeric-method Man page
pricefutures,ANY,schwartz2f-method Man page
pricefutures,ANY,schwartz2f.fit-method Man page
pricefutures.default Source code
pricefutures.schwartz2f Source code
pricefutures.schwartz2f.fit Source code
priceoption Man page
priceoption,ANY,ANY,ANY,ANY,numeric-method Man page
priceoption,ANY,ANY,ANY,ANY,schwartz2f-method Man page
priceoption,ANY,ANY,ANY,ANY,schwartz2f.fit-method Man page
priceoption.default Source code
priceoption.schwartz2f Source code
priceoption.schwartz2f.fit Source code
pstate Man page
pstate,ANY,ANY,ANY,numeric-method Man page
pstate,ANY,ANY,ANY,schwartz2f-method Man page
pstate.default Source code
pstate.schwartz2f Source code
qfutures Man page
qfutures,ANY,ANY,ANY,numeric-method Man page
qfutures,ANY,ANY,ANY,schwartz2f-method Man page
qfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
qfutures.default Source code
qfutures.schwartz2f Source code
qfutures.schwartz2f.fit Source code
qstate Man page
qstate,ANY,ANY,numeric-method Man page
qstate,ANY,ANY,schwartz2f-method Man page
qstate.default Source code
qstate.schwartz2f Source code
resid,schwartz2f.fit-method Man page
resid.schwartz2f.fit Man page Source code
rfutures Man page
rfutures,ANY,ANY,ANY,numeric-method Man page
rfutures,ANY,ANY,ANY,schwartz2f-method Man page
rfutures,ANY,ANY,ANY,schwartz2f.fit-method Man page
rfutures.default Source code
rfutures.schwartz2f Source code
rfutures.schwartz2f.fit Source code
rstate Man page
rstate,ANY,ANY,numeric-method Man page
rstate,ANY,ANY,schwartz2f-method Man page
rstate.default Source code
rstate.schwartz2f Source code
schwartz2f Man page Source code
schwartz2f-class Man page
schwartz2f.fit Man page
schwartz2f.fit-class Man page
schwartz97 Man page
schwartz97-package Man page
show,schwartz2f-method Man page
show,schwartz2f.fit-method Man page
show.schwartz2f Man page Source code
show.schwartz2f.fit Man page Source code
sigma.fut.schwartz2f Source code
sigma.opt.schwartz2f Source code
sigma.state.schwartz2f Source code
sim.futures Source code
simstate Man page
simstate,ANY,ANY,numeric-method Man page
simstate,ANY,ANY,schwartz2f-method Man page
simstate.default Source code
simstate.schwartz2f Source code
state.space.2f Source code
vcov,schwartz2f-method Man page
vcov-methods Man page
vcov.schwartz2f Man page Source code

Files

ChangeLog
DESCRIPTION
Fixme
NAMESPACE
R
R/schwartz97classes.R
R/schwartz97fit.R
R/schwartz97generics.R
R/schwartz97internals.R
R/schwartz97methods.R
R/schwartz97pricing.R
data
data/datalist
data/futures.rda
inst
inst/doc
inst/doc/SpotCommodity.bib
inst/doc/TechnicalDocument.Rnw
inst/doc/UserGuide.Rnw
inst/unitTests
inst/unitTests/Makefile
inst/unitTests/runit.futures.R
inst/unitTests/runit.methods.R
inst/unitTests/runit.option.R
inst/unitTests/runit.pricing.R
inst/unitTests/runit.spot.R
man
man/schwartz97classes.Rd
man/schwartz97coef-method.Rd
man/schwartz97constructor.Rd
man/schwartz97distrfut.Rd
man/schwartz97distrstate.Rd
man/schwartz97filter.Rd
man/schwartz97fitted.Rd
man/schwartz97fitting.Rd
man/schwartz97futures-data.Rd
man/schwartz97futures-plot.Rd
man/schwartz97internals.Rd
man/schwartz97meanvcov.Rd
man/schwartz97package.Rd
man/schwartz97plotfit.Rd
man/schwartz97plotstate.Rd
man/schwartz97pricefutures.Rd
man/schwartz97priceoption.Rd
man/schwartz97randstate.Rd
man/schwartz97resid.Rd
tests
tests/doRUnit.R
schwartz97 documentation built on May 21, 2017, 2:16 a.m.