Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator

versión 1.0.0.0 (1.19 MB) por Ahmos Sansom
Implementation of the Multi-Factor multi commodity forward curve simulator

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Actualizada 18 Jun 2013

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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.

Citar como

Ahmos Sansom (2022). Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator (https://www.mathworks.com/matlabcentral/fileexchange/42280-monte-carlo-example-of-the-multi-factor-coupled-commodity-forward-curves-simulator), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2012b
Compatible con cualquier versión
Compatibilidad con las plataformas
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