The attached matlab code simulates future coupled forward curves based on the Clewlow and Strickland model detailed in . The aim of the code is to highlight how Matlab's optimisation routines can be used to improve the calibration process.
2. Running the code
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 forward curves:
[1 "Multi-Factor Mult-Commodity models & Parameter Estimation Processess,” John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee, Lacima, 2008.