Package: schwartz97
Type: Package
Version: 0.0.3
Date: 2010-11-11
Title: A package on the Schwartz two-factor commodity model
Author: Philipp Erb, David Luethi, Juri Hinz, Simon Otziger
Maintainer: David Luethi <luethid@gmail.com>
LazyLoad: yes
LazyData: no
Depends: R(>= 2.8), FKF(>= 0.1.0), mvtnorm, methods
Description: 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.
License: GPL (>= 2)
Encoding: latin1
Packaged: 2010-11-09 18:41:08 UTC; luethid
Repository: CRAN
Date/Publication: 2010-11-10 11:18:06
