A package on the Schwartz two-factor commodity model


[Package List] [Top]

Documentation for package ‘schwartz97’ version 0.0.1

User Guides and Package Vignettes

Read overview or browse directory.

Help Pages

schwartz97-package Two-factor Commodity Model
coef,schwartz2f-method Extract parameters of schwartz2f objects
coef,schwartz2f.fit-method Extract parameters of schwartz2f objects
coef.schwartz2f Extract parameters of schwartz2f objects
coef.schwartz2f.fit Extract parameters of schwartz2f objects
coefficients,schwartz2f-method Extract parameters of schwartz2f objects
coefficients,schwartz2f.fit-method Extract parameters of schwartz2f objects
dfutures Schwartz two-factor Model: Distribution of Futures Prices
dfutures,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of Futures Prices
dfutures,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of Futures Prices
dfutures,ANY,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: Distribution of Futures Prices
dstate Schwartz two-factor Model: Distribution of the State Variables
dstate,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of the State Variables
dstate,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of the State Variables
filter.schwartz2f Schwartz two-factor Model: Filter futures data
filter.schwartz2f,ANY,ANY,numeric-method Schwartz two-factor Model: Filter futures data
filter.schwartz2f,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Filter futures data
filter.schwartz2f,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: Filter futures data
fit.schwartz2f Schwartz 1997 two factor commodity model
fitted,schwartz2f.fit-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,schwartz2f-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,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of Futures Prices
pfutures,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of Futures Prices
pfutures,ANY,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: Distribution of Futures Prices
plot,schwartz2f,missing-method Plot Schwartz two-factor trajectories
plot,schwartz2f.fit,missing-method Plot Schwartz two-factor fit-objects
plot-fit-methods Plot Schwartz two-factor fit-objects
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,ANY,numeric-method Schwartz two-factor Model: Futures Prices
pricefutures,ANY,schwartz2f-method Schwartz two-factor Model: Futures Prices
pricefutures,ANY,schwartz2f.fit-method Schwartz two-factor Model: Futures Prices
priceoption Schwartz two-factor Model: European Option Prices
priceoption,ANY,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: European Option Prices
priceoption,ANY,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: European Option Prices
priceoption,ANY,ANY,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: European Option Prices
pstate Schwartz two-factor Model: Distribution of the State Variables
pstate,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of the State Variables
pstate,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of the State Variables
qfutures Schwartz two-factor Model: Distribution of Futures Prices
qfutures,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of Futures Prices
qfutures,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of Futures Prices
qfutures,ANY,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: Distribution of Futures Prices
qstate Schwartz two-factor Model: Distribution of the State Variables
qstate,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of the State Variables
qstate,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of the State Variables
resid,schwartz2f.fit-method Extract Model Residuals
resid.schwartz2f.fit Extract Model Residuals
rfutures Schwartz two-factor Model: Distribution of Futures Prices
rfutures,ANY,ANY,ANY,numeric-method Schwartz two-factor Model: Distribution of Futures Prices
rfutures,ANY,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Distribution of Futures Prices
rfutures,ANY,ANY,ANY,schwartz2f.fit-method Schwartz two-factor Model: Distribution of Futures Prices
rstate Schwartz two-factor Model: Sampling from the State Variables
rstate,ANY,ANY,numeric-method Schwartz two-factor Model: Sampling from the State Variables
rstate,ANY,ANY,schwartz2f-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,schwartz2f-method Classes schwartz2f and schwartz2f.fit
show,schwartz2f.fit-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,ANY,ANY,numeric-method Schwartz two-factor Model: Sampling from the State Variables
simstate,ANY,ANY,schwartz2f-method Schwartz two-factor Model: Sampling from the State Variables
vcov,schwartz2f-method Expected value and variance-covariance
vcov-methods Expected value and variance-covariance
vcov.schwartz2f Expected value and variance-covariance