N-Factor Commodity Pricing Through Term Structure Estimation


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Documentation for package ‘NFCP’ version 1.0.1

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American_option_value N-factor model American put option pricing
European_option_value N-factor model European option pricing
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 parameters of N-factor model
spot_price_forecast Forecast the 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