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.
| Version: | 0.0.4 |
| Depends: | R (≥ 2.10), FKF (≥ 0.1.0), mvtnorm, methods, RUnit |
| Published: | 2011-12-19 |
| Author: | Philipp Erb, David Luethi, Juri Hinz, Simon Otziger |
| Maintainer: | David Luethi <luethid at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | schwartz97 results |
| Package source: | schwartz97_0.0.4.tar.gz |
| MacOS X binary: | schwartz97_0.0.4.tgz |
| Windows binary: | schwartz97_0.0.4.zip |
| Reference manual: | schwartz97.pdf |
| Vignettes: |
Technical Document User Guide |
| News/ChangeLog: | ChangeLog |
| Old sources: | schwartz97 archive |