N-Factor Commodity Pricing Through Term Structure Estimation

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Documentation for package ‘NFCP’ version 1.2.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

American_option_value	N-factor model American options on futures contracts valuation
European_option_value	N-factor model European options on futures contracts valuation
futures_price_forecast	Forecast the futures prices of an N-factor model
futures_price_simulate	Simulate futures prices of an N-factor model through Monte Carlo simulation
NFCP_domains	N-Factor MLE search boundaries
NFCP_Kalman_filter	Filter an N-factor commodity pricing model though the Kalman filter
NFCP_MLE	N-factor model parameter estimation through the Kalman filter and maximum likelihood estimation
NFCP_parameters	Specify the constant parameters of an N-factor model
spot_price_forecast	Forecast spot prices of an N-factor model
spot_price_simulate	Simulate spot prices of an N-factor model through Monte Carlo simulation
SS_oil	Crude oil term structure futures data (1990 - 1995)
stitch_contracts	Stitch futures contracts
TSfit_volatility	Calculate the volatility term structure of futures returns