Monte Carlo of a Multi Commodity Spot and Forward Simulator

版本 2.0.0.0 (1.5 MB) 作者: Ahmos Sansom
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
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更新时间 2024/7/17

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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]ss“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 (2024). Monte Carlo of a Multi Commodity Spot and Forward Simulator (https://www.mathworks.com/matlabcentral/fileexchange/48070-monte-carlo-of-a-multi-commodity-spot-and-forward-simulator), MATLAB Central File Exchange. 检索时间: .

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SpotModelExample

版本 已发布 发行说明
2.0.0.0

Updated with new Matlab version
1.1.0.0

Sorry, added missing GetCov.m file.
1.0.0.0