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Package: schwartz97
Type: Package
Version: 0.0.6
Date: 2011-12-18
Title: A package on the Schwartz two-factor commodity model
Author: Philipp Erb, David Luethi, Juri Hinz, Simon Otziger
Maintainer: Marc Weibel <marc.weibel@zhaw.ch>
LazyData: no
Depends: R (>= 2.10), FKF (>= 0.1.0), mvtnorm, methods, RUnit
Description: This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities.
License: GPL (>= 2)
Encoding: latin1
Packaged: 2014-02-11 09:51:04 UTC; aleksandarspasojevic
Repository: CRAN
Date/Publication: 2014-02-11 12:32:43
NeedsCompilation: no
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