schwartz97coef-method: Extract parameters of schwartz2f objects
In schwartz97: A package on the Schwartz two-factor commodity model

Description Usage Arguments Value Author(s) See Also Examples

The function coef returns parameters of schwartz2f and a schwartz2f.fit objects as a list. The function coefficients is an alias for coef.

## S4 method for signature 'schwartz2f'
coef(object)
## S4 method for signature 'schwartz2f'
coefficients(object)

## S4 method for signature 'schwartz2f.fit'
coef(object)
## S4 method for signature 'schwartz2f.fit'
coefficients(object)

object

An object from class schwartz2f or schwartz2f.fit.

If object is of class schwartz2f:

`s0`	Commodity spot price.
`delta0`	Convenience yield.
`mu`	Drift parameter of the spot price process.
`sigmaS`	Diffusion parameter of the spot price process.
`kappa`	Speed of mean-reversion of the convenience yield process.
`alpha`	Mean-level of the convenience yield process.
`sigmaE`	Diffusion parameter of the convenience yield process.
`rho`	Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.

If object is of class schwartz2f.fit:

`s0`	Commodity spot price.
`delta0`	Convenience yield.
`mu`	Drift parameter of the spot price process.
`sigmaS`	Diffusion parameter of the spot price process.
`kappa`	Speed of mean-reversion of the convenience yield process.
`alpha`	Mean-level of the convenience yield process.
`sigmaE`	Diffusion parameter of the convenience yield process.
`rho`	Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.
`r`	Instantaneous risk-free interest rate.
`lambda`	Market price of convenience yield risk.
`alphaT`	Mean-level of the convenience yield process with respect to the equivalent martingale measure.

The model and its parameters are described in the Details section of the schwartz2f-class documentation and in the package vignette Technical Document.

Philipp Erb, David Luethi

schwartz2f classes.

## coef-method for schwartz2f-objects:
coef(schwartz2f())

## coef-method for schwartz2f.fit-objects:
## Estimate parameters for soybean oil (but stop after 3 iterations).
data(futures)
fit.obj <- fit.schwartz2f(futures$soybean.oil$price, futures$soybean.oil$ttm / 260,
                          deltat = 1 / 260, control = list(maxit = 3))
coef(fit.obj)