Term Structure of Volatility Calibration

versión 1.0.0.0 (164 KB) por Ahmos Sansom
Derives term structure parameters used in Commodity pricing

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Actualizada 7 Apr 2010

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This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below.

TSOVs avaible are:
TermType - 1 = sigma = A exp (-CT)
- 2 = sigma = A exp (-CT) + D
- 3 = sigma = (A + BT) exp (-CT) + D

Required data - Local volatility and return data - both assumed annualised.

The optimisation applies the nonlinear least square fitting tool and MLE approach using the fminsearch function - see reference 2.

To run type: TSOVControl

This code can be used to derive TSOV parameters for the Clewlow and Strickland Forward curve or spot models.

References

1. "Electricity Markets, - Pricing, Structures and Economics, " Chris Harris, Wiley, 2006.

Discussion on MLE vs. FMINSEARCH

2. http://www.mathworks.co.uk/matlabcentral/newsreader/view_thread/170041

Citar como

Ahmos Sansom (2022). Term Structure of Volatility Calibration (https://www.mathworks.com/matlabcentral/fileexchange/27185-term-structure-of-volatility-calibration), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2009b
Compatible con cualquier versión
Compatibilidad con las plataformas
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