This function plots the parameter evolution during the fit, the filtered state variables (i.e. the spot price and the convenience yield), forward curves, or trajectories of the state variables.

Visualization of historical commodity futures prices and remaining time to maturity. This function is intended to be fed with the futures data contained in this package (see futures-data).

The function mean returns the expected value of the spot price and the convenience yield for some time in the future. The function vcov returns the covariance matrix of the log spot price and the convenience yield.

rand-state
(Package: schwartz97) :
Schwartz two-factor Model: Sampling from the State Variables

Random number and trajectory generation of the state variables. The state variables are the commodity spot price s0 and the spot convenience yield delta0. The commodity log spot price and the convenience yield follow a bivariate normal distribution.