schwartz2f-class-hierarchy(schwartz97)
schwartz2f-class-hierarchy()所属R语言包：schwartz97
Classes schwartz2f and schwartz2f.fit
类schwartz2f和schwartz2f.fit
译者：生物统计家园网 机器人LoveR
描述----------Description----------
The schwartz2f class stores parameters which determine initial values and the dynamics of the state variables. The class schwartz2f.fit inherits from the schwartz2f class. The class schwartz2f.fit adds slots which contain data regarding the estimation procedure and parameters of the risk-neutral dynamics. In particular, it adds the market price of convenience yield risk lambda and the interest rate.
schwartz2f类卖场参数的确定状态变量的初始值，并动态。 schwartz2f.fit类继承自类schwartz2f。类schwartz2f.fit添加插槽，其中包含有关风险中性的动态估计的程序和参数的数据。特别是，它增加了便利收益lambda和利率风险的市场价格。
类对象----------Objects from the Class----------
Objects should only be created by calls to the constructors schwartz2f and fit.schwartz2f.
对象只应创建由调用的构造schwartz2f和fit.schwartz2f的。
插槽----------Slots----------
<STRONG>Slots of class “schwartz2f”:</STRONG>
<STRONG>插槽的类“schwartz2f”的：</ STRONG>
call: The function-call of class call.
call：功能-调用的类call。
s0: Initial commodity spot-price of class numeric.
s0：初始类numeric大宗商品现货价格。
delta0: Initial value of the convenience yield of
delta0：便利收益的初始值
mu: Enters the drift of the commodity spot price (under
mu：进入漂移的大宗商品现货价格（下
sigmaS: Diffusion parameter of the spot price process
sigmaS：扩散参数的现货价格
kappaE: Speed of mean-reversion of the
kappaE：均值回归的速度
alpha: Mean level of the convenience-yield process of
alpha：平均水平的便利收益的过程中
sigmaE: Diffusion parameter of the convenience-yield
sigmaE：扩散参数的便利产量
rhoSE: Correlation between the two Brownian motions which drive the spot price and convenience-yield processes of
rhoSE：两个布朗运动，推动现货价格和便利收益的过程之间的相关性
<STRONG>Slots added by class “schwartz2f.fit”:</STRONG>
<STRONG>的插槽添加类“schwartz2f.fit”：</ STRONG>
n.iter: The number of iterations of class
n.iter：在类的迭代的数量
llh: The log likelihood value of class
llh：对数似然值的类
converged: A logical stating whether the fit converged or
converged：Alogical是否适合融合或
error.code: An error code of class numeric. The value of optim's “convergence”. If an unknown
error.code：一个错误代码的类numeric。的值optim的“融合”。如果一个未知的
error.message: An error message of class
error.message：类的错误信息
fitted.params: A logical vector stating which
fitted.params：Alogical矢量说明
trace.pars: Contains the parameter value evolution
trace.pars：包含参数值的进化
r: The risk-free interest rate of class numeric.
r：无风险利率类numeric。
alphaT: The mean-value of the convenience yield process under the equivalent martingale measure of class
alphaT：平均价值的便利收益的过程中，等价鞅测度类
lambda: The market price of convenience yield risk of
lambda：方便产量的市场价格风险
meas.sd: The standard deviation of the measurement
meas.sd：测量的标准偏差
deltat: The time-increment of the transition equation
deltat：时间增量的转换方程
Details
详细信息----------Details----------
The joint dynamics of the spot-price and the convenience yield are given by the stochastic differential equations
联合的现货价格和便利收益的动态随机微分方程
where W1, W2 are Brownian motions under the objective measure.
W1, W2是布朗运动下的客观的衡量标准。
Under an equivalent martingale measure (the pricing measure) the
在等价鞅测度（定价措施）
where W1*, W2* are Brownian motions with respect to the martingale measure.
W1*, W2*是布朗运动的鞅测度。
lambda / kappa</i> where lambda is the market price of convenience-yield risk.
λ/ KAPPA </ I>lambda是市场价格，便利收益的风险。
扩展----------Extends----------
Class “schwartz2f.fit” extends class “schwart2factor”, directly.
类“schwartz2f.fit”扩展级“schwart2factor”，直接使用。
（作者）----------Author(s)----------
Philipp Erb, David Luethi, Juri Hinz
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
参见----------See Also----------
schwartz2f to initialize schwartz2f-objects. fit.schwartz2f to fit the two-factor model to data and get a schwartz2f.fit object, schwartz97-package for an overview.
schwartz2f来初始化schwartz2f对象。 fit.schwartz2f，以适应双因素模型的数据和一个schwartz2f.fit对象，schwartz97-package的概述。
实例----------Examples----------
obj <- schwartz2f() # create an object of class schwartz2f[创建一个对象类schwartz2f]
obj # print it[打印出来]
coef(obj) # get coefficients [得到的系数]
unclass(obj) # see the slots [看到插槽]
## create an object of class schwartz2f.fit[＃创建一个对象类schwartz2f.fit]
data(futures)
fit.obj <- fit.schwartz2f(futures$wheat$price, futures$wheat$ttm / 260,
deltat = 1 / 260, control = list(maxit = 3))
fit.obj # print it[打印出来]
coef(fit.obj) # get coefficients [得到的系数]
unclass(fit.obj) # see the slots [看到插槽]
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。
|
发表于 2012-9-29 22:54:54
