Fairmat repository1.7
Version1.0.1
Version date19.04.2013
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Convenience Yield Calculator

License: Free
Author: Fairmat srl

This plug-in implements the capability of calculating instantaneous forward price for commodities like Natural Gas, Fuel Oil and Gasoil.
The deterministic forward price model is calibrated starting from an input matrix of futures prices and other market data and specifications.

Tags: Convenience Yield, Commodity, Bootstrap forward
Downloads: 336