Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator

Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets
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Mise à jour 29 sept. 2015

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1. Introduction
The attached matlab code simulates future coupled spot and forward curves based on the Carlos Blanco and Michael Pierce model published in Energy Risk, May 2012; the forward curve simulator is based on the Clewlow and Strickland model detailed in [2] and the submission in June 2013. The aim of the code is to simulate several commodity markets of spot and forward simulations.
2. Running the code
The script:
SpotModelExample.m

can be run to show how to the model is initialised that will output several figures highlighting simulations and validation.

The main engine determining the simulated spot and forward curves:

SpotandMultiFactorForwardCurveSimulator.m

3. References

[1] “Joint Simulation of Spot Prices and Forward Curves,” Carlos Blanco and Michael Pierce, Energy Risk, May 2012

[2] "Multi-Factor Mult-Commodity models & Parameter Estimation Processess,” John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee, Lacima, 2008.

Citation pour cette source

Ahmos Sansom (2024). Monte Carlo example of a Multi Commodity Spot and Forward curves Simulator (https://www.mathworks.com/matlabcentral/fileexchange/48070-monte-carlo-example-of-a-multi-commodity-spot-and-forward-curves-simulator), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2012b
Compatible avec toutes les versions
Plateformes compatibles
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Version Publié le Notes de version
1.1.0.0

Sorry, added missing GetCov.m file.

1.0.0.0