Monte Carlo of Multi-Factor coupled Commodity Forwards

Implementation of the Multi-Factor multi commodity forward curve simulator

1. Introduction

The attached matlab code simulates future coupled forward curves based on the Clewlow and Strickland model detailed in [1]. 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

The script:

MultiFactorExample.m

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:

MultiFactorForwardCurveSimulator.m

3. References

[1 "Multi-Factor Mult-Commodity models & Parameter Estimation Processess,” John Breslin, Les Clewlow, Chris Strickland, Daniel van der Zee, Lacima, 2008.