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NFCP.MLE

N-Factor Model Parameter Estimation through the Kalman Filter and Maximum Likelihood Estimation


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

NFCP.MLE(
  log.futures,
  dt,
  TTM,
  N.factors,
  GBM = TRUE,
  S.Constant = TRUE,
  Estimate.Initial.State = FALSE,
  Richardsons.Extrapolation = TRUE,
  cluster = FALSE,
  Domains = NULL,
  ...
)

Examples

SS_2F <- NFCP.MLE(
 ####Arguments
 log.futures = log(SS_oil$stitched_futures)[1:5,1],
 dt = SS_oil$dt,
 TTM= SS_oil$stitched_TTM[1],
 S.Constant = FALSE, N.factors = 1, GBM = TRUE,
 ####Genoud arguments:
 hessian = TRUE,
 Richardsons.Extrapolation = FALSE,
 pop.size = 4, optim.method = "L-BFGS-B", print.level = 0,
 max.generations = 0, solution.tolerance = 10)

## ->
output <- NFCP_MLE(
####Arguments
log_futures = log(SS_oil$contracts)[1:20,1:5],
dt = SS_oil$dt,
futures_TTM= SS_oil$contract_maturities[1:20,1:5],
N_ME = 1,
N_factors = 1, GBM = TRUE,
####Genoud arguments:
hessian = TRUE,
Richardsons_extrapolation = FALSE,
pop.size = 4, optim.method = "L-BFGS-B", print.level = 0,
max.generations = 0, solution.tolerance = 10)

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

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