Docs / nablatensor-quant / com.nablatensor.quant

record

SchwartzMarket

A Schwartz (1997) one-factor commodity market: the log spot mean-reverts,

d ln S = kappa (level - ln S) dt + sigma dW

where level is the risk-neutral long-run log price (the market price of risk has been folded in). Every field is a differentiable input.

Record components

spot
double
kappa
double
level
double
sigma
double
rate
double

Methods

SchwartzMarket validated()
static SchwartzMarket base()