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.
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