schwartz97-package(schwartz97)
schwartz97-package()所属R语言包：schwartz97
Two-factor Commodity Model
双因素商品型号
译者：生物统计家园网 机器人LoveR
描述----------Description----------
This package contains an implementation of the Schwartz two-factor commodity model, that is, the joint dynamics of the spot price and the spot convenience yield according to Schwartz (1997). The parameter estimation function constitutes the core of this package. Once the parameters are estimated, futures and European call and put options can be priced, term structures can be calculated and the usual distribution operations d/p/q/r can be carried out on the state variables as well as on futures prices. The package is accompanied by a variety of utility functions, futures data of ten commodities, and two vignettes describing technical details and usage of the package.
这个软件包包含施瓦茨两因素商品的模式，即现货价格与现货便利收益，根据施瓦茨（1997），联合动力的实现。这个包的参数估计函数构成的核心。一旦参数估计，期货和欧式看涨期权和看跌期权的价格，可以计算期限结构和通常的分销业务D / P / Q / R可以进行的状态变量，以及对期货价格。包是伴随着各种的实用功能，数据的10种商品期货，和两个小插曲，描述的技术细节和使用的包。
Details
详细信息----------Details----------
Package:
包装方式：
</td><td align="left"> schwartz97
</ TD> <TD ALIGN="LEFT"> schwartz97
Type:
类型：
</td><td align="left"> Package
</ TD> <TD ALIGN="LEFT">包装
Version:
版本：
</td><td align="left"> 0.0.4
</ TD> <TD ALIGN="LEFT"> 0.0.4
Date:
日期：
</td><td align="left"> 2011-12-18
</ TD> <TD ALIGN="LEFT"> 2011-12-18
License:
许可：
</td><td align="left"> GPL (GNU Public License), Version 2 or later
</ TD> <TD ALIGN="LEFT"> GPL（GNU通用公共许可证），第2版或更高版本
<STRONG>Initialization:</STRONG>
<STRONG>初始化：</ STRONG>
schwartz2f
schwartz2f
</td><td align="left"> Initialize a Schwartz two-factor object.
</ TD> <TD ALIGN="LEFT">初始化一的施瓦茨两个因子对象。
<STRONG>Density, distribution function, quantile function, random number generation, and trajectories of the state variables:</STRONG>
<STRONG>密度，分布函数，分位数函数，随机数生成，轨迹的状态变量：</ STRONG>
dstate
dstate
</td><td align="left"> Density of the spot and the convenience yield.
</ TD> <TD ALIGN="LEFT">密度的部位和便利收益。
pstate
pstate
</td><td align="left"> Distribution of the spot and the convenience yield.
</ TD> <TD ALIGN="LEFT">分布的部位和便利收益。
qstate
qstate
</td><td align="left"> Quantile of the spot and the convenience yield.
</ TD> <TD ALIGN="LEFT">位数现货和便利收益。
rstate
rstate
</td><td align="left"> Random number generation of the spot and the convenience yield.
</ TD> <TD ALIGN="LEFT">现货和便利收益的随机数生成。
simstate
simstate
</td><td align="left"> Trajectory of the spot and the convenience yield.
</ TD> <TD ALIGN="LEFT">的点的轨迹和便利收益。
<STRONG>Density, distribution function, quantile function, and random number generation of the futures price:</STRONG>
<STRONG>密度，分布函数，分位数函数，随机数生成的期货价格：</ STRONG>
dfutures
dfutures
</td><td align="left"> Density of the futures price.
</ TD> <TD ALIGN="LEFT">密度的期货价格。
pfutures
pfutures
</td><td align="left"> Distribution of the futures price.
</ TD> <TD ALIGN="LEFT">分布的期货价格。
qfutures
qfutures
</td><td align="left"> Quantile of the futures price.
</ TD> <TD ALIGN="LEFT">位数的期货价格。
rfutures
rfutures
</td><td align="left"> Random number generation of the futures price.
</ TD> <TD ALIGN="LEFT">随机数生成的期货价格。
<STRONG>Parameter estimation:</STRONG>
<STRONG>参数估计：</ STRONG>
fit.schwartz2f
fit.schwartz2f
</td><td align="left"> Estimate parameters of the two-factor model.
</ TD> <TD ALIGN="LEFT">的双因素模型的参数估计。
fitted
fitted
</td><td align="left"> Extract the model's fitted values.
</ TD> <TD ALIGN="LEFT">提取模型的拟合值。
resid
resid
</td><td align="left"> Extract model residuals.
</ TD> <TD ALIGN="LEFT">提取模型残差。
<STRONG>Pricing:</STRONG>
<STRONG>定价：</ STRONG>
pricefutures
pricefutures
</td><td align="left"> Compute arbitrage-free futures prices.
</ TD> <TD ALIGN="LEFT">计算无套利期货价格上涨。
priceoption
priceoption
</td><td align="left"> Compute arbitrage-free European option prices.
</ TD> <TD ALIGN="LEFT">计算欧式期权价格的无套利。
<STRONG>Utilities:</STRONG>
<STRONG>实用程序：</ STRONG>
coef
coef
</td><td align="left"> Extract model coefficients of
</ TD> <TD ALIGN="LEFT">提取模型系数
schwartz2f
schwartz2f
-objects.
对象。
mean
mean
</td><td align="left"> Extract the mean of
</ TD> <TD ALIGN="LEFT">中提取的平均值
schwartz2f
schwartz2f
-objects.
对象。
vcov
vcov
</td><td align="left"> Extract the covariance matrix of
</ TD> <TD ALIGN="LEFT">提取物的协方差矩阵
schwartz2f
schwartz2f
-objects.
对象。
filter.schwartz2f
filter.schwartz2f
</td><td align="left"> Filter futures prices to get the spot price and convenience yield.
</ TD> <TD ALIGN="LEFT">过滤期货价格，现货价格和便利收益。
plot
plot
</td><td align="left"> Plot
</ TD> <TD ALIGN="LEFT">图
schwartz2f.fit
schwartz2f.fit
-objects.
对象。
plot
plot
</td><td align="left"> Plot trajectories of
</ TD> <TD ALIGN="LEFT">图轨迹
schwartz2f
schwartz2f
-objects.
对象。
futures
futures
</td><td align="left"> Use
</ TD> <TD ALIGN="LEFT">使用
data(futures)
data(futures)
to get data of 10 commodities.
获得10项商品的数据。
<STRONG>Package vignette:</STRONG> <br>
<STRONG>包装的小插曲：</ STRONG> <BR>的
The R package schwartz97 contains two vignettes:<br>
的R套件“schwartz97包含两个小插曲：参考
The vignette Technical Document gives the necessary relations and tools to fully understand the internals of the package. <br>
暗角的技术文件，提供了必要的关系，要充分认识内部的包。参考
The vignette User Guide discusses implementation details and gives numerous examples and intuitive explanations. <br>
“小插曲用户指南”讨论实施细节，并给出了许多例子和直观的解释。参考
（作者）----------Author(s)----------
David Luethi, Philipp Erb, Juri Hinz, Simon Otziger <br>
Maintainer: David Luethi <luethid@gmail.com>
参考文献----------References----------
Claims by Rajna Gibson and Eduardo S. Schwartz <br> The Journal of Finance 45, 1990, 959-976 <br>
Valuation and Hedging by Eduardo S. Schwartz <br> Journal of Finance 52, 1997, 923-973 <br>
Structures of Convenience Yields and Interest Rates by Kristian R. Miltersen and Eduardo S. Schwartz <br> Journal of Financial and Quantitative Analysis 33, 1998, 33-59<br>
Convenience Yields, Interest Rates, and Jump Diffusions in the Spot by Jimmy E. Hilliard and Jorge Reis <br> Journal of Financial and Quantitative Analysis 33, 1998, 61-86
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-29 22:55:18
