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Simulation of Forward Curve using PCA (principle component analysis)


This program replicates the theory given in paper "Multi-Factor Models of the Forward Price Curve" by CARLOS BLANCO, DAVID SORONOW & PAUL STEFISZYNRun simfwrdcurve.m first and then simfwrdcurv2.m.simfwrdcurve.m computes the volatility functions to...

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