distribution-futures(schwartz97)
distribution-futures()所属R语言包：schwartz97
Schwartz two-factor Model: Distribution of Futures Prices
施瓦茨的双因素模式：经销期货价格
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Density, distribution function, quantile function and random number generation of futures prices.
密度，分布函数，分位数函数和随机数生成的期货价格。
用法----------Usage----------
## S4 method for signature 'ANY,ANY,ANY,numeric'
dfutures(x, time = 0.1, ttm = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, r = 0.05, lambda = 0,
alphaT = NULL, measure = c(" ", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f'
dfutures(x, time = 0.1, ttm = 1, s0, r = 0.05,
lambda = 0, alphaT = NULL, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f.fit'
dfutures(x, time = 0.1, ttm = 1, s0, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,numeric'
pfutures(q, time = 0.1, ttm = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, r = 0.05, lambda = 0,
alphaT = NULL, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f'
pfutures(q, time = 0.1, ttm = 1, s0, r = 0.05,
lambda = 0, alphaT = NULL, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f.fit'
pfutures(q, time = 0.1, ttm = 1, s0, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,numeric'
qfutures(p, time = 0.1, ttm = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, r = 0.05, lambda = 0,
alphaT = NULL, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f'
qfutures(p, time = 0.1, ttm = 1, s0, r = 0.05,
lambda = 0, alphaT = NULL, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f.fit'
qfutures(p, time = 0.1, ttm = 1, s0, measure = c("", "Q"), ...)
## S4 method for signature 'ANY,ANY,ANY,numeric'
rfutures(n, time = 0.1, ttm = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0, sigmaE = 0.5,
rho = 0.75, r = 0.05, lambda = 0, alphaT = NULL, measure = c("", "Q"))
## S4 method for signature 'ANY,ANY,ANY,schwartz2f'
rfutures(n, time = 0.1, ttm = 1, s0, r = 0.05,
lambda = 0, alphaT = NULL, measure = c("P", "Q"))
## S4 method for signature 'ANY,ANY,ANY,schwartz2f.fit'
rfutures(n, time = 0.1, ttm = 1, s0, measure = c("P", "Q"))
参数----------Arguments----------
参数：q, x
vector of quantiles.
向量的位数。
参数：p
vector of probabilities.
向量的概率。
参数：n
number of observations. If length(n) > 1, the length is taken to be the number required.
若干意见。如果length(n) > 1，长度所需的数量。
参数：time
Time where the futures process is evaluated (relative to now).
期货评估过程的时间（到现在）。
参数：ttm
Time to maturity (relative to now).
到期时间（到现在）。
参数：s0
Either a numeric representing the initial value of the commodity spot price or an object inheriting from class schwartz2f.
一个numeric代表的大宗商品现货价格的初始值或对象继承类schwartz2f。
参数：delta0
Initial value of the convenience yield.
便利收益的初始值。
参数：mu
Drift term of commodity spot price.
漂移项商品现货价格。
参数：sigmaS
Diffusion parameter of the spot price process.
扩散参数的现货价格。
参数：kappa
Speed of mean-reversion of the convenience yield process.
均值回归的便利收益过程的速度。
参数：alpha
Mean-level of the convenience yield process.
平均数级的便利收益过程。
参数：sigmaE
Diffusion parameter of the convenience yield process.
便利收益过程中的扩散参数。
参数：rho
Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.
之间的相关系数的布朗运动驱动的现货价格和便利收益的过程。
参数：lambda
Market price of convenience yield risk (see Details).
便利收益风险的市场价格（见详情）。
参数：alphaT
Mean-level of the convenience yield process with respect to the equivalent martingale measure (see Details).
便利收益过程中的等价鞅测度的平均水平（见详情）。
参数：r
Instantaneous risk-free interest rate.
瞬时无风险利率。
参数：measure
under which the functions are computed. “P” denotes the objective measure, “Q” the risk-neutral measure (see Details).
根据该函数被计算。 “P”表示客观的衡量标准，“Q”的风险中性测度（见详情）。
参数：...
Arguments to be passed to the functions d/p/q-norm.
要传递的功能d/p/q-norm。
Details
详细信息----------Details----------
Futures prices depend on the spot-price and the convenience yield.<br>
期货价格取决于现货价格和便利收益。<BR>
To get the real (i.e. the objective) distribution of futures prices at some date in the future the dynamics is considered under the objective measure P. The P-dynamics is
要获得真正的期货价格在未来的某个日期（即目标）分布的动态下被认为是客观的衡量P. P-动态
where W1, W2 are Brownian motions under the objective measure, the measure P.<br>
W1, W2是布朗运动下的客观的衡量标准，衡量P.参考
Options on futures are evaluated based on the risk-neutral dynamics of the spot-price and the convenience yield, i.e. under the measure Q. The Q-dynamics is
期货期权进行评估的基础上的现货价格和便利收益，即Q的Q-力度的措施下，风险中性的动态
where W1*, W2* are Brownian motions with respect to Q.<br>
其中W1*, W2*是布朗运动，就问：参考
lambda / kappa</i> where lambda is the market price of convenience-yield risk. The market price of convenience yield risk can either be specified explicitly by lambda or implicitly by alphaT. The relation is alphaT = alpha - lambda / kappa. See the package vignette.
λ/ KAPPA </ I>lambda是市场价格，便利收益的风险。便利收益风险的市场价格可以显式地指定lambda或暗示的alphaT。的关系alphaT = alpha - lambda / kappa。请参阅的包小插曲。
值----------Value----------
Probabilities, densities, quantiles or samples of the log-normally distributed futures prices as numeric.
概率密度，分位数或样品的对数正态分布的期货价格numeric。
注意----------Note----------
Note that futures and forward prices coincide as the interest rate is assumed to be constant in the Schwartz two-factor model.
需要注意的是期货和远期价格一致施瓦茨双因素模型中，利率被认为是不变的。
（作者）----------Author(s)----------
Philipp Erb, David Luethi, Juri Hinz
参考文献----------References----------
Valuation and Hedging by Eduardo S. Schwartz <br> Journal of Finance 52, 1997, 923-973<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
参见----------See Also----------
pricefutures, d/p/qstate, r/simstate
pricefutures，d/p/qstate，r/simstate
实例----------Examples----------
## Create a "schwartz2f"-object[＃创建的“schwartz2f”。对象]
model <- schwartz2f()
## Probability[＃概率]
pfutures(q = 10 * 3:9, time = 0.5, ttm = 2, model, lambda = 0.01)
## Density[＃密度]
dfutures(x = c(20, 40, 100), time = 0.5, ttm = 2, model, lambda = 0.01)
## Quantile[＃位数]
qfutures(p = 0.1 * 2:5, time = 0.5, ttm = 10, model, lambda = 0.01)
## Sample[＃示例]
sim <- rfutures(n = 1000, time = 0.5, ttm = 5, model, lambda = 0.01)
hist(sim, prob = TRUE)
lines(seq(30, 300, length = 100),
dfutures(seq(30, 300, length = 100),
time = 0.5, ttm = 5, model, lambda = 0.01), col = "red")
## At time 0 the futures price is a deterministic function of s0 and[＃在0时刻的期货价格是一个确定的函数S0和]
## delta0. Therefore 3 times the same value is obtained:[＃delta0。因此，相同的值的3倍得到的：]
rfutures(3, time = 0, ttm = 1, model, lambda = 0)
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。
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发表于 2012-9-29 22:52:50
