Description Details Author(s) References
This package contains an implementation of the Schwartz two-factor commodity model, that is, the joint dynamics of the spot price and the spot convenience yield according to Schwartz (1997). The parameter estimation function constitutes the core of this package. Once the parameters are estimated, futures and European call and put options can be priced, term structures can be calculated and the usual distribution operations d/p/q/r can be carried out on the state variables as well as on futures prices. The package is accompanied by a variety of utility functions, futures data of ten commodities, and two vignettes describing technical details and usage of the package.
Package: | schwartz97 |
Type: | Package |
Version: | 0.0.4 |
Date: | 2011-12-18 |
License: | GPL (GNU Public License), Version 2 or later |
Initialization:
schwartz2f | Initialize a Schwartz two-factor object. |
Density, distribution function, quantile function, random number generation, and trajectories of the state variables:
dstate | Density of the spot and the convenience yield. |
pstate | Distribution of the spot and the convenience yield. |
qstate | Quantile of the spot and the convenience yield. |
rstate | Random number generation of the spot and the convenience yield. |
simstate | Trajectory of the spot and the convenience yield. |
Density, distribution function, quantile function, and random number generation of the futures price:
dfutures | Density of the futures price. |
pfutures | Distribution of the futures price. |
qfutures | Quantile of the futures price. |
rfutures | Random number generation of the futures price. |
Parameter estimation:
fit.schwartz2f | Estimate parameters of the two-factor model. |
fitted | Extract the model's fitted values. |
resid | Extract model residuals. |
Pricing:
pricefutures | Compute arbitrage-free futures prices. |
priceoption | Compute arbitrage-free European option prices. |
Utilities:
coef | Extract model coefficients of schwartz2f -objects. |
mean | Extract the mean of schwartz2f -objects. |
vcov | Extract the covariance matrix of schwartz2f -objects. |
filter.schwartz2f | Filter futures prices to get the spot price and convenience yield. |
plot | Plot schwartz2f.fit -objects. |
plot | Plot trajectories of schwartz2f -objects. |
futures | Use data(futures) to get data of 10 commodities. |
Package vignette:
The R package schwartz97
contains two vignettes:
The vignette Technical Document gives the necessary relations and
tools to fully understand the internals of the package.
The vignette User Guide discusses implementation details and
gives numerous examples and intuitive explanations.
David Luethi, Philipp Erb, Juri Hinz, Simon Otziger
Maintainer: David Luethi <luethid@gmail.com>
Stochastic Convenience Yield and the Pricing of Oil Contingent
Claims by Rajna Gibson and Eduardo S. Schwartz
The Journal of
Finance 45, 1990, 959-976
The Stochastic Behavior of Commodity Prices: Implications for
Valuation and Hedging by Eduardo S. Schwartz
Journal of Finance
52, 1997, 923-973
Pricing of Options on Commodity Futures with Stochastic Term
Structures of Convenience Yields and Interest Rates by Kristian
R. Miltersen and Eduardo S. Schwartz
Journal of Financial and
Quantitative Analysis 33, 1998, 33-59
Valuation of Commodity Futures and Options under Stochastic
Convenience Yields, Interest Rates, and Jump Diffusions in the Spot
by Jimmy E. Hilliard and Jorge Reis
Journal of Financial and
Quantitative Analysis 33, 1998, 61-86
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