Last data update: 2014.03.03

Data Source

R Release (3.2.3)

Data Type

Data set


Results 1 - 10 of 18 found.
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filter-futures (Package: schwartz97) : Schwartz two-factor Model: Filter futures data

Filter a series of futures prices to obtain state variables.
● Data Source: CranContrib
● Keywords: iteration
● Alias: filter.schwartz2f, filter.schwartz2f,ANY,ANY,numeric-method, filter.schwartz2f,ANY,ANY,schwartz2f-method, filter.schwartz2f,ANY,ANY,
● 0 images

pricing-futures (Package: schwartz97) : Schwartz two-factor Model: Futures Prices

Compute arbitrage-free futures prices.
● Data Source: CranContrib
● Keywords: derivative, models
● Alias: pricefutures, pricefutures,ANY,numeric-method, pricefutures,ANY,schwartz2f-method, pricefutures,ANY,
● 0 images (Package: schwartz97) : Plot Schwartz two-factor fit-objects

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.
● Data Source: CranContrib
● Keywords: hplot, methods
● Alias: plot,,missing-method, plot-fit-methods,
● 0 images

plot.state-method (Package: schwartz97) : Plot Schwartz two-factor trajectories

This function plots trajectories of the Schwartz two-factor model including the means and confidence intervals at 99%, 95% and 90% levels.
● Data Source: CranContrib
● Keywords: hplot, methods
● Alias: plot,schwartz2f,missing-method, plot-state-methods, plot.schwartz2f
● 0 images

distribution-futures (Package: schwartz97) : Schwartz two-factor Model: Distribution of Futures Prices

Density, distribution function, quantile function and random number generation of futures prices.
● Data Source: CranContrib
● Keywords: datagen, distribution, models
● Alias: pfutures, pfutures,ANY,ANY,ANY,numeric-method, pfutures,ANY,ANY,ANY,schwartz2f-method, pfutures,ANY,ANY,ANY,
● 0 images

schwartz2f-constructor (Package: schwartz97) : Create schwartz2f objects

Create objects of class schwartz2f.
● Data Source: CranContrib
● Keywords: models
● Alias: schwartz2f
● 0 images

parameter-estimation (Package: schwartz97) : Schwartz 1997 two factor parameter estimation

Fit the Schwartz 1997 two factor commodity model to futures data.
● Data Source: CranContrib
● Keywords: distribution, iteration, models, optimize
● Alias: fit.schwartz2f
● 0 images

futures-plot (Package: schwartz97) : Visualization of Futures Data

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).
● Data Source: CranContrib
● Keywords: hplot
● Alias: futuresplot
● 0 images

mean-vcov-methods (Package: schwartz97) : Expected value and variance-covariance

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.
● Data Source: CranContrib
● Keywords: methods, utilities
● Alias: mean,schwartz2f-method, mean-methods, mean.schwartz2f, vcov,schwartz2f-method, vcov-methods, vcov.schwartz2f
● 0 images

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.
● Data Source: CranContrib
● Keywords: datagen, models
● Alias: rstate, rstate,ANY,ANY,numeric-method, rstate,ANY,ANY,schwartz2f-method
● 0 images