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
.
1 2 3 4 5 6 7 8 9 | ## 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
|
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.
1 2 3 4 5 6 7 8 9 | ## 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)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.