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SchwartzSmith.jl

SchwartzSmith.jl is a package for estimating the Schwartz Smith model.
The implementation and notation was based on the original article by Eduardo Schwartz and James E. Smith (2000), called "Short-Term Variations and Long-Term Dynamics in Commodity Prices" (https://pdfs.semanticscholar.org/c298/e5c8c477e3da8941173e6cb593f05230006c.pdf)

To use the package you can do

pkg> add https://github.com/LAMPSPUC/SchwartzSmith.jl.git

Features

• Parameter estimation
  • Original and average time to maturity
  • Random or predefined seed
• Simulation
• Forecasting