Monte Carlo of Multi-Factor coupled Commodity Forwards

版本 2.0.0.0 (1.2 MB) 作者: Ahmos Sansom
Implementation of the Multi-Factor multi commodity forward curve simulator
5.0
(1)
905.0 次下载
更新时间 2024/2/25

查看许可证

1. Introduction
The attached matlab code simulates future coupled forward curves based on the Clewlow and Strickland model detailed in [1]. The aim of the code is to highlight how Matlab's optimisation routines can be used to improve the calibration process.
2. Running the code
The script:
MultiFactorExample.m
can be run to show how to the model is initialised that will output several figures highlighting simulations and validation.
The main engine determining the simulated forward curves:
MultiFactorForwardCurveSimulator.m
3. References
[1 "Multi-Factor Mult-Commodity models & Parameter Estimation Processess,” John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee, Lacima, 2008.

引用格式

Ahmos Sansom (2024). Monte Carlo of Multi-Factor coupled Commodity Forwards (https://www.mathworks.com/matlabcentral/fileexchange/42280-monte-carlo-of-multi-factor-coupled-commodity-forwards), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2022a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Financial Toolbox 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

MULTICOMMODITY

版本 已发布 发行说明
2.0.0.0

updated for version R2022a
1.0.0.1

corrected new version error
1.0.0.0