Simulation of Schwartz-Smith two Factor model (Scripts) Publisher's description
from Moeti Ncube
This code simulates the Schwartz-Smith two Factor model form the paper
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 obtain the same results as given in Figure 4 in their paper.
Run the file, ssmodelreplication.m
Soon I will post a novel calibration method for this procedure.
Note: Some of my code was taken originally from
James P. LeSage
System Requirements:MATLAB 7.9 (2009b)
Program Release Status: New Release
Program Install Support: Install and Uninstall