Commodity Roll Analysis

versión (1010 KB) por Ahmos Sansom
Simple analysis on calculating returns of historical forward curve time series

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Actualizada 20 Feb 2017

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Performs volatility analysis of historical time series of commodity forward curves.
The historical data is stored in an object with a range of methods that plots, calculates returns, volatility: Simple Moving Average and Exponentially Weighted Moving Average and Principal Component Analysis.

The simple example is used to show how commodity roll, i.e. when the monthly contract expires affects the returns and subsequent volatility profile across tenors.

Run the script:


This will plot the results.

Citar como

Ahmos Sansom (2022). Commodity Roll Analysis (, MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2016a
Compatible con cualquier versión
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