Title: A package on the Schwartz two-factor commodity model
Author: Philipp Erb, David Luethi, Juri Hinz, Simon Otziger
Maintainer: Marc Weibel <email@example.com>
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)
Packaged: 2014-02-11 09:51:04 UTC; aleksandarspasojevic
Date/Publication: 2014-02-11 12:32:43