schwartz97 (0.0.4)
A package on the Schwartz two-factor commodity model.
http://cran.r-project.org/web/packages/schwartz97
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.
Maintainer:
David Luethi
Author(s): Philipp Erb, David Luethi, Juri Hinz, Simon Otziger
License: GPL (>= 2)
Released over 1 year ago.
2 previous versions
- schwartz97_0.0.3. Released over 2 years ago.
- schwartz97_0.0.2. Released over 2 years ago.
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does the package include seasonality?
Reading the documentation on Schwartz97 package it seems that seasonality is not considered. In principle we must deseasonlize the commodity prices…
faiube did not rate schwartz97 (0.0.4). Read the full review.
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