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: | 0.0.6 |
Depends: | R (≥ 2.10), FKF (≥ 0.1.0), mvtnorm, methods, RUnit |
Published: | 2014-02-11 |
Author: | Philipp Erb, David Luethi, Juri Hinz, Simon Otziger |
Maintainer: | Marc Weibel <marc.weibel at zhaw.ch> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
Materials: | ChangeLog |
CRAN checks: | schwartz97 results |
Reference manual: | schwartz97.pdf |
Vignettes: |
Technical Document User Guide |
Package source: | schwartz97_0.0.6.tar.gz |
Windows binaries: | r-devel: schwartz97_0.0.6.zip, r-release: schwartz97_0.0.6.zip, r-oldrel: schwartz97_0.0.6.zip |
OS X Snow Leopard binaries: | r-release: schwartz97_0.0.6.tgz, r-oldrel: schwartz97_0.0.6.tgz |
OS X Mavericks binaries: | r-release: schwartz97_0.0.6.tgz |
Old sources: | schwartz97 archive |