filter-futures(schwartz97)
filter-futures()所属R语言包：schwartz97
Schwartz two-factor Model: Filter futures data
施瓦茨双因素模型筛选期货数据
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Filter a series of futures prices to obtain state variables.
筛选期货价格获得了一系列状态变量。
用法----------Usage----------
## S4 method for signature 'ANY,ANY,numeric'
filter.schwartz2f(data, ttm, 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,
deltat = 1/260, meas.sd = rep(1e-3, ncol(data)),
P0 = 0.5 * diag(c(log(s0), abs(delta0))))
## S4 method for signature 'ANY,ANY,schwartz2f'
filter.schwartz2f(data, ttm, s0,
r = 0.05, lambda = 0, alphaT = NULL, deltat = 1/260,
meas.sd = rep(1e-3, ncol(data)),
P0 = 0.1 * diag(2))
## S4 method for signature 'ANY,ANY,schwartz2f.fit'
filter.schwartz2f(data, ttm, s0)
参数----------Arguments----------
参数：data
A matrix with futures prices.
矩阵与期货价格。
参数：ttm
A matrix with the corresponding time to maturity (see Details).
一个矩阵，相应的到期时间（见详情）。
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
enters the drift of the commodity spot price.
进入漂移的大宗商品现货价格。
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：r
Instantaneous risk-free interest rate.
瞬时无风险利率。
参数：lambda
Market price of convenience yield risk.
便利收益风险的市场价格。
参数：alphaT
Mean-level of the convenience yield process with respect to the equivalent martingale measure.
平均水平的便利收益过程中的等价鞅测度。
参数：deltat
Time increment.
时间增量。
参数：meas.sd
The standard deviation of the measurement equation (see Details section of fit.schwartz2f).
的标准偏差的测量方程（详细部分fit.schwartz2f）。
参数：P0
Variance of the state variables s0 and P0.
的状态变量s0和P0的差异。
Details
详细信息----------Details----------
The elements of data and ttm have the following interpretation: data[i,j] denotes the futures price whose time to maturity was ttm[i,j] when it was observed. The unit of ttm is defined by deltat.
的元素data和ttm有如下解释：data[i,j]表示，期货价格的时间，到期日为ttm[i,j]，当它被观察到。被定义为ttmdeltat单位。
deltat is the time between observation data[i,j] and data[i + 1,j]. It is assumed to be constant, i.e., that data is a regular time-series.
deltat是观察data[i,j]和data[i + 1,j]之间的时间。它被假定为是恒定的，即，data是一个固定的时间系列。
值----------Value----------
A list with components:
组件列表：
state
state
</td><td align="left"> A matrix with
</ TD> <TD ALIGN="LEFT">一个矩阵
colnames
colnames
are
是
“S”
“S”的
and
和
“delta”
“Delta”
giving the the expected spot price and the
给预期现货价格和
convenience yield.
便利收益。
fkf.obj
fkf.obj
</td><td align="left"> The filter output from the package
</ TD> <TD ALIGN="LEFT">滤波器输出的包
fkf
fkf
. Note that the log of the commodity spot
。需要注意的是log的大宗商品现货
price is filtered.
价格过滤。
（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
参见----------See Also----------
fit.schwartz2f, pricefutures.
fit.schwartz2f，pricefutures。
实例----------Examples----------
data(futures)
## Estimate parameters for coffee data (stop after 20 iterations)[＃参数估计的咖啡数据（20次迭代后停止）]
fit.obj <- fit.schwartz2f(futures$coffee$price, futures$coffee$ttm / 260,
deltat = 1 / 260, control = list(maxit = 20))
## Filter the futures data to get the spot price and the convenience yield.[＃过滤期货的数据才能拿到现货价格和便利收益。]
filtered <- filter.schwartz2f(futures$coffee$price, futures$coffee$ttm / 260, fit.obj)
## ...and plot it.[＃...绘制。]
par(mfrow = c(2, 1))
plot(filtered$state[,1], ylab = "Spot price", type = "l")
lines(futures$coffee$price[,1], col = "red") # Closest to maturity futures[最近至到期日期货]
plot(filtered$state[,2], ylab = "Convenience yield", type = "l")
abline(h = 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。
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 22:53:12
