Simulation of Forward Curve using PCA (principle component analysis)

バージョン 1.0.0.0 (691 KB) 作成者: Moeti Ncube
Method of simulation forward curves
0.0
(0)
ダウンロード: 1.5K
更新 2011/1/6

ライセンスの表示

This program replicates the theory given in paper "Multi-Factor Models of the Forward Price Curve" by CARLOS BLANCO, DAVID SORONOW & PAUL STEFISZYN
Run 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

引用

Moeti Ncube (2024). Simulation of Forward Curve using PCA (principle component analysis) (https://www.mathworks.com/matlabcentral/fileexchange/29940-simulation-of-forward-curve-using-pca-principle-component-analysis), MATLAB Central File Exchange. 取得済み .

MATLAB リリースの互換性
作成: R2009b
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux
カテゴリ
Help Center および MATLAB Answers で Dimensionality Reduction and Feature Extraction についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

fwd curves/

バージョン 公開済み リリース ノート
1.0.0.0