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NFCP  

N-Factor Commodity Pricing Through Term Structure Estimation
View on CRAN: Click here


Download and install NFCP package within the R console
Install from CRAN:
install.packages("NFCP")

Install from Github:
library("remotes")
install_github("cran/NFCP")

Install by package version:
library("remotes")
install_version("NFCP", "1.2.1")



Attach the package and use:
library("NFCP")
Maintained by
Thomas Aspinall
[Scholar Profile | Author Map]
First Published: 2021-01-13
Latest Update: 2022-02-17
Description:
Commodity pricing models are (systems of) stochastic differential equations that are utilized for the valuation and hedging of commodity contingent claims (i.e. derivative products on the commodity) and other commodity related investments. Commodity pricing models that capture market dynamics are of great importance to commodity market participants in order to exercise sound investment and risk-management strategies. Parameters of commodity pricing models are estimated through maximum likelihood estimation, using available term structure futures data of a commodity. 'NFCP' (n-factor commodity pricing) provides a framework for the modeling, parameter estimation, probabilistic forecasting, option valuation and simulation of commodity prices through state space and Monte Carlo methods, risk-neutral valuation and Kalman filtering. 'NFCP' allows the commodity pricing model to consist of n correlated factors, with both random walk and mean-reverting elements. The n-factor commodity pricing model framework was first presented in the work of Cortazar and Naranjo (2006) . Examples presented in 'NFCP' replicate the two-factor crude oil commodity pricing model presented in the prolific work of Schwartz and Smith (2000) with the approximate term structure futures data applied within this study provided in the 'NFCP' package.
How to cite:
Thomas Aspinall (2021). NFCP: N-Factor Commodity Pricing Through Term Structure Estimation. R package version 1.2.1, https://cran.r-project.org/web/packages/NFCP. Accessed 23 Feb. 2025.
Previous versions and publish date:
0.1.0 (2021-01-13 13:00), 0.2.0 (2021-02-25 12:40), 1.0.0 (2021-05-02 15:30), 1.0.1 (2021-05-06 13:50), 1.1.0 (2021-06-25 00:50), 1.2.0 (2021-08-07 10:40)
Other packages that cited NFCP R package
View NFCP citation profile
Other R packages that NFCP depends, imports, suggests or enhances
Complete documentation for NFCP
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