NFCP: Futures.Price.Simulate – R documentation

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NFCP

Futures.Price.Simulate

Simulate N-Factor Model Futures Prices

Description

'r lifecycle::badge("deprecated")'

This function was deprecated due to a change in the name of the function to adhere to the tidyverse style guide.

Usage

Futures.Price.Simulate(X.0, parameters, dt, N.obs, TTM, verbose = TRUE)

Examples

output <- Futures.Price.Simulate(X.0 = c(log(SS.Oil$Spot[1,1]), 0),
                     parameters = SS.Oil$Two.Factor,
                     dt = SS.Oil$dt,
                     N.obs = nrow(SS.Oil$Stitched.Futures),
                     TTM = SS.Oil$Stitched.TTM)

## ->

output <- futures_price_simulate(x_0 = c(log(SS_oil$spot[1,1]), 0),
                     parameters = SS_oil$two_factor,
                     dt = SS_oil$dt,
                     N_obs = nrow(SS_oil$stitched_futures),
                     futures_TTM = SS_oil$stitched_TTM)

NFCP

N-Factor Commodity Pricing Through Term Structure Estimation

v1.0.1

GPL-3

Authors

Thomas Aspinall [aut, cre] (<https://orcid.org/0000-0002-6968-1989>), Adrian Gepp [aut] (<https://orcid.org/0000-0003-1666-5501>), Geoff Harris [aut] (<https://orcid.org/0000-0003-4284-8619>), Simone Kelly [aut] (<https://orcid.org/0000-0002-6528-8557>), Colette Southam [aut] (<https://orcid.org/0000-0001-7263-2347>), Bruce Vanstone [aut] (<https://orcid.org/0000-0002-3977-2468>)

Initial release

Futures.Price.Simulate

Description

Usage

Examples

NFCP

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