A package on the Schwartz two-factor commodity model


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Documentation for package ‘schwartz97’ version 0.0.6

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schwartz97-package Two-factor Commodity Model
coef-method Extract parameters of schwartz2f objects
coef.schwartz2f Extract parameters of schwartz2f objects
coef.schwartz2f.fit Extract parameters of schwartz2f objects
coefficients-method Extract parameters of schwartz2f objects
dfutures Schwartz two-factor Model: Distribution of Futures Prices
dfutures-method Schwartz two-factor Model: Distribution of Futures Prices
dstate Schwartz two-factor Model: Distribution of the State Variables
dstate-method Schwartz two-factor Model: Distribution of the State Variables
filter.schwartz2f Schwartz two-factor Model: Filter futures data
filter.schwartz2f-method Schwartz two-factor Model: Filter futures data
fit.schwartz2f Schwartz 1997 two factor parameter estimation
fitted-method Extract Model Fitted Values
fitted.schwartz2f.fit Extract Model Fitted Values
futures Daily futures prices
futures-data Daily futures prices
futuresplot Visualization of Futures Data
mean-method Expected value and variance-covariance
mean-methods Expected value and variance-covariance
mean.schwartz2f Expected value and variance-covariance
pfutures Schwartz two-factor Model: Distribution of Futures Prices
pfutures-method Schwartz two-factor Model: Distribution of Futures Prices
plot-fit-methods Plot Schwartz two-factor fit-objects
plot-method Plot Schwartz two-factor fit-objects
plot-method Plot Schwartz two-factor trajectories
plot-state-methods Plot Schwartz two-factor trajectories
plot.schwartz2f Plot Schwartz two-factor trajectories
plot.schwartz2f.fit Plot Schwartz two-factor fit-objects
pricefutures Schwartz two-factor Model: Futures Prices
pricefutures-method Schwartz two-factor Model: Futures Prices
priceoption Schwartz two-factor Model: European Option Prices
priceoption-method Schwartz two-factor Model: European Option Prices
pstate Schwartz two-factor Model: Distribution of the State Variables
pstate-method Schwartz two-factor Model: Distribution of the State Variables
qfutures Schwartz two-factor Model: Distribution of Futures Prices
qfutures-method Schwartz two-factor Model: Distribution of Futures Prices
qstate Schwartz two-factor Model: Distribution of the State Variables
qstate-method Schwartz two-factor Model: Distribution of the State Variables
resid-method Extract Model Residuals
resid.schwartz2f.fit Extract Model Residuals
rfutures Schwartz two-factor Model: Distribution of Futures Prices
rfutures-method Schwartz two-factor Model: Distribution of Futures Prices
rstate Schwartz two-factor Model: Sampling from the State Variables
rstate-method Schwartz two-factor Model: Sampling from the State Variables
schwartz2f Create schwartz2f objects
schwartz2f-class Classes schwartz2f and schwartz2f.fit
schwartz2f.fit Classes schwartz2f and schwartz2f.fit
schwartz2f.fit-class Classes schwartz2f and schwartz2f.fit
schwartz97 Two-factor Commodity Model
show-method Classes schwartz2f and schwartz2f.fit
show.schwartz2f Classes schwartz2f and schwartz2f.fit
show.schwartz2f.fit Classes schwartz2f and schwartz2f.fit
simstate Schwartz two-factor Model: Sampling from the State Variables
simstate-method Schwartz two-factor Model: Sampling from the State Variables
vcov-method Expected value and variance-covariance
vcov-methods Expected value and variance-covariance
vcov.schwartz2f Expected value and variance-covariance