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.

Documentation

Manual: schwartz97.pdf
Vignettes:

Maintainer: Marc Weibel <marc.weibel at zhaw.ch>

Author(s): Philipp Erb, David Luethi, Juri Hinz, Simon Otziger

Install package and any missing dependencies by running this line in your R console:

install.packages("schwartz97")

Depends R(>= 2.10), FKF(>=0.1.0), mvtnorm, methods, RUnit
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Package schwartz97
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Version 0.0.6
Published 2014-02-11
License GPL (>= 2)
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NeedsCompilation no
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Package source schwartz97_0.0.6.tar.gz