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 Name | Size |
|---|---|
| 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 |
