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

版本 (1.0 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 2015/9/29


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:

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:


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.


Ahmos Sansom (2023). Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator (, MATLAB Central File Exchange. 检索来源 .

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Sorry, added missing GetCov.m file.