Download Shareware and Freeware Software for Windows, Linux, Macintosh, PDA

line Home  |  About Us  |  Link To Us  |  FAQ  |  Contact

Serving Software Downloads in 976 Categories, Downloaded 31.595.517 Times

Calibration of Forward Price, Volatility, and Correlations across multiple assets 1.0

  Date Added: July 28, 2013  |  Visits: 279

Calibration of Forward Price, Volatility, and Correlations across multiple assets

Report Broken Link
Printer Friendly Version

Product Homepage
Download (18 downloads)

This paper outlines a methodology for calibrating the Schwartz-Smith two factor commodity pricing model across multiple commodities such that on the valuation date:1. The calibration produces simulations that are consistent with the current forward curve term structure2. The calibration produces simulations that are consistent with the current ATM (at-the-money) volatility term structure3. The calibration produces simulations that are consistent with the correlation inputs between the lognormal movements of different commoditiesThe primary difference between the approach presented here and the calibration methodologies typically used by other papers implementing a derivative of the Schwartz-Smith model is that this approach does not consider the historical forward price evolution to calibrate the spot dynamics. Instead, it relies on the use of available market data, more specifically the forward term structure and implied volatility curves, as inputs.In this example, I use four assets: 5x16,2x16,7x8 PJM forward prices and ATM volatilities along with natural gas forward prices and ATM volatilitiesCalibration of the parameters is done in Excel. By inputing the vectors of Forward and ATM volatilites for each commodity, I can compute the theoretical Schwartz Smith Forward Prices and Standard Deviations for a given maturity. I then use Excel solver to minimize the difference between the observed market values and their theoretical values to obtain the Schwartz-Smith parameters for each commodity. Note this methodology is drastically different from the one described in "Short Term Variation and Long-Term Dynamics in Commodity Prices" in which Schwartz and Smith calibrate their model to historical futures prices. Here I calibrate the model to the current forward and volatility curve as well as adjust for seasonality. This procedure is much more practical pricing methodology.The more difficult step was insuring that the correlation between and asset(i) and asset(j) at maturity (t) was consistent with the implied correlation between the forward price vectors. This was done by adjusting the correlation between the short-term factors of commodities at each maturity. The matlab code factors in this adjustment and simulates the 4 commodities in this example to show that the theoretical prices, volatilities, and correlations match up with the observed market data.There is not, to my knowledge, a commodities methodology that incoporates so many market factors across multible commodities into one simulation. The advantages of such a model allows for more accurate modeling of spark spreads and pricing of deals that are dependent on multiple commodities prices. I have included all files, including excel, associated with this calibration and simulation.

Requirements: No special requirements
Platforms: Matlab
Keyword: Commodity Drastically Dynamics Longterm Obtain Procedure Quotshort Seasonality Variation
Users rating: 0/10

License: Shareware Size: 419.84 KB
Development Tools  -  Simulation of Schwartz-Smith two Factor model 1.0
This code simulates the Schwartz-Smith two Factor model form the paper Short-Term Variations and Long-Term Dynamics in Commodity Prices by Eduardo Schwartz and James E. Smith.I use the same parameter and data set time series of crude oil and...
30.72 KB  
Database Tools  -  Stored Procedure Builder 1.2
CN Global developed Stored Procedure Builder 1.2 for developers to create Stored procedures with minimum effort. This handy utility supports Transact Sql (T-SQL). Developers can select a table or all tables belong to a sql database and...
2.83 MB  
Database Tools  -  Stored Procedure Proxy Generator 1.1
The Stored Procedure Proxy Generator program is designed to radically simplify solving the problem of complexity of preparing to call database stored procedures from external code. Based on the information taken from the specified database it...
812 KB  
Security Tools  -  BioKeyLogon 2.0
BioKeyLogon - add keystroke dynamics authentication to standard Windows authentication procedure during logon. It is based on the fact that different people type in uniquely characteristic manners. nioKeyLogon allows you to increase Windows...
643 KB  
Libraries  -  Mac::Apps::Seasonality::LoadICAOHistory 0.0.6
Mac::Apps::Seasonality::LoadICAOHistory is a Perl module to load data into an SQLite2 database with the Seasonality weather.db schema. SYNOPSIS use English qw{ -no_match_vars }; use DBI; use Mac::Apps::Seasonality::LoadICAOHistory qw{...
31.74 KB  
Libraries  -  Mac::Apps::Seasonality::Constants 0.0.4
Mac::Apps::Seasonality::Constants is a Perl module for static definitions of aspects of Seasonality. SYNOPSIS use Mac::Apps::Seasonality::Constants qw{ $SEASONALITY_NAME $SEASONALITY_CREATOR $SEASONALITY_HISTORY_DATABASE_PATH }; use...
8.19 KB  
Libraries  -  JSBSim Flight Dynamics Model 0.9.13
JSBSim Flight Dynamics Model is an open source flight dynamics model (FDM) that compiles and runs under many operating systems, including Linux, Apple Macintosh, Microsoft Windows, Linux, IRIX, Cygwin (Unix on Windows), etc. The FDM is...
972.8 KB  
Libraries  -  RPC::XML::Procedure 0.59
RPC::XML::Procedure is an object encapsulation of server-side RPC procedures. SYNOPSIS require RPC::XML::Procedure; ... $method_1 = RPC::XML::Procedure->new({ name => system.identity, code => sub { ... }, signature => [ string ] });...
122.88 KB  
Windows Software  -  T4S Stored Procedure Generator
T4S Stored Procedure Generator reads database schema and generates stored procedures based on your selection and configuration. It supports MS SQL Server 2000, 2005, 2008, MSDE, SQLExpress databases. It is entirely built in C# and .NET 2.0....
12.92 MB  
Finance  -  Microsoft Dynamics CRM 2011 Report Authoring Extension 5.00.9688.583
The Microsoft Dynamics CRM Report Authoring Extension is required to author custom Fetch-based reports for Microsoft Dynamics CRM by using Business Intelligence Development Studio. Microsoft Dynamics CRM 2011 Report Authoring Extension will...
Scripts  -  Freelancer Script 5.05
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Post projects. Featured projects. Private projects. Sealed projects. Edit/delete projects. Select freelancers....
5.49 MB  
Scripts  -  B2B Script 4.20
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Sign-up Account (Registration of account). Lead generation tools (for the sellers). Email verification to...
5.49 MB  
Scripts  -  B2C Script 5.06
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). The script comes with totally editable site colors, icons and graphics Multilevel categories allows extensive browsing Admin can change Category ordering or...
5.49 MB  
Scripts  -  Social Networking Script 2.86
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Registration with name, email, password, date of birth etc. User can add multiple school, college, university with start...
5.49 MB  
Scripts  -  Business Networking Script 8.04
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Ajax based interface. Profile creation. Different types of profile. Profile for jobseekers, employers and employed...
5.49 MB  
Development Tools  -  VMP Viewer 1.0
This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.
10 KB  
Development Tools  -  Sending reports and timestamped file by emailing 1.0
main executing reference usage:[1] usage_send_mail.mIllustrates email sending with multiple separate files or single timestamped tar file. Attachment failure is properly handled, with continuation of report emailing without the attachment.[2]...
768 KB  
Development Tools  -  IrisMVC 2.0 rc1
IrisMVC is an OOP PHP framework that developers can use as a strong and secure foundation to build on various web applications following the Model-View-Controller (MVC) pattern. It provides the basic functionality developers need, without...
51.2 KB  
Development Tools  -  7-Zip for Script 4.42
7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...
624.64 KB  
Development Tools  -  Barnardextest 1.0
This file, as the Fisher's exact test, performs the exact probability test for a table of frequency data cross-classified according to two categorical variables, each of which has two levels or subcategories (2x2). It is a non-parametric...
10 KB