Description Usage Arguments Details Value Author(s) References See Also Examples
Compute arbitrage-free futures prices.
1 2 3 4 5 6 7 8 9 10 11 | ## S4 method for signature 'ANY,numeric'
pricefutures(ttm = 1, s0 = 50, delta0 = 0, sigmaS = 0.3,
kappa = 1, alpha = 0, sigmaE = 0.5, rho = 0.75,
r = 0.03, lambda = 0, alphaT = NULL)
## S4 method for signature 'ANY,schwartz2f'
pricefutures(ttm = 1, s0, r = 0.03,
lambda = 0, alphaT = NULL)
## S4 method for signature 'ANY,schwartz2f.fit'
pricefutures(ttm = 1, s0)
|
ttm |
Time to maturity. |
s0 |
Either a |
delta0 |
Initial value of the convenience yield. |
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 (see Details). |
alphaT |
Mean-level of the convenience yield process with respect to the equivalent martingale measure (see Details). |
The model and its parameters are described in the Details
section of the schwartz2f
-class
documentation and in the package vignette Technical Document.
A numeric
containing futures prices.
Philipp Erb, David Luethi, Juri Hinz
The Stochastic Behavior of Commodity Prices: Implications for
Valuation and Hedging by Eduardo S. Schwartz
Journal of Finance
52, 1997, 923-973
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
priceoption
to price options,
d/p/q/rfutures
to work with futures,
schwartz2f
-constructor,
fit.schwartz2f
for parameter estimation,
futures-data
.
1 2 3 4 5 6 7 8 9 | ## function call by atomic arguments
forward.curve <- pricefutures(ttm = 0.2 * 1:10, s0 = 10, delta0 = 0,
alpha = 0, lambda = 0.02, r = 0)
plot(forward.curve, type = "b")
## function call via schwartz2f-object.
obj <- schwartz2f(delta0 = 0, sigmaE = 1e-5) # Make convenience yield inactive
forward.curve <- pricefutures(ttm = 0.2 * 1:10, s0 = obj, r = 0, alphaT = 0)
plot(forward.curve, type = "b")
|
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