image thumbnail

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

version 1.1.0.0 (1.04 MB) by Ahmos Sansom
Implementation of a commodity spot and Multi-Factor forward curve simulator for coupled markets

650 Downloads

Updated 29 Sep 2015

View License

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.

Cite As

Ahmos Sansom (2021). 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. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

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

Start Hunting!