Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator

版本 1.1.0.0 (1.0 MB) 作者: Ahmos Sansom
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets

688.0 次下载

更新时间 2015/9/29

查看许可证

1. Introduction
The attached matlab code simulates future coupled spot and forward curves based on the Carlos Blanco and Michael Pierce model published in Energy Risk, May 2012; the forward curve simulator is based on the Clewlow and Strickland model detailed in [2] and the submission in June 2013. The aim of the code is to simulate several commodity markets of spot and forward simulations.
2. Running the code
The script:
SpotModelExample.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 spot and forward curves:

SpotandMultiFactorForwardCurveSimulator.m

3. References

[1] “Joint Simulation of Spot Prices and Forward Curves,” Carlos Blanco and Michael Pierce, Energy Risk, May 2012

[2] "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 (2023). Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator (https://www.mathworks.com/matlabcentral/fileexchange/48070-monte-carlo-example-of-a-multi-commodity-spot-and-forward-curves-simulator), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2012b
兼容任何版本
平台兼容性
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!
版本 已发布 发行说明
1.1.0.0

Sorry, added missing GetCov.m file.

1.0.0.0