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 |