Simulation of forward curve using pca (principle component analysis) in matlab

The following Matlab project contains the source code and Matlab examples used for simulation of forward curve using pca (principle component analysis). 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.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
apr.mat 4701
apr.txt 5956
aug.mat 4699
aug.txt 5954
a_multi_factor.pdf 164495
data 18
data710.txt 18
dec.mat 4718
dec.txt 5435
feb.mat 4718
feb.txt 5435
importfile.m 710
importfile1.asv 711
jan.mat 4718
jan.txt 5435
jul.mat 4707
jul.txt 6249
jun.mat 4705
jun.txt 6251
mar.mat 4695
mar.txt 6260
may.mat 4717
may.txt 5732
msigma.mat 234133
nov.mat 4723
nov.txt 4790
oct.mat 4723
oct.txt 4790
pcadata.txt 5741
pcamodel.asv 533
pcomp.mat 234133
sep.mat 4723
sep.txt 4790
simfwdcurve.asv 578
simfwdcurve.m 776
simfwdcurve2.asv 748
simfwdcurve2.m 1226
vecr.m 723
license.txt 1312

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