schwartz97: A package on the Schwartz two-factor commodity model

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>
BugReports: NA
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:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: schwartz97_0.0.6.tgz, r-oldrel: schwartz97_0.0.6.tgz
Old sources: schwartz97 archive