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Simulation of Forward Curve using PCA (principle component analysis) 1.0

  Date Added: July 20, 2013  |  Visits: 225

Simulation of Forward Curve using PCA (principle component analysis)

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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 calculate the principal components for each month of the year by loading the historical daily forward curve data associated with each month. Each month has 48 forward contracts starting with prompt month and every month has differenct principle components (to account for seasonality)simfwrdcurve2.m loads the volatility functions associated with each month calculated in simfwrdcurv.m and simulates the forward curve m months into the future starting from month (datesim) selected by user. It uses principle components associated with each month

Requirements: No special requirements
Platforms: Matlab
Keyword: Contracts Curve Daily Differenct Historical Loading Prompt Starting
Users rating: 0/10

License: Shareware Size: 686.08 KB
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