A package on the Schwartz two-factor commodity model CRAN Task View: Finance (http://CRAN.R-project.org/view=Finance) This package provides detailed functionality for working with the Schwartz 1997 two-factor commodity model. Essentially, it contains pricing formulas for futures and European options and the standard d/p/q/r functions for the distribution of the state variables and futures prices. In addition, a parameter estimation procedure is contained together with many utilities as filtering and plotting functionality. This package is accompanied by futures data of ten commodities. Software Depends: R(>= 2.10), FKF(>= 0.1.0), mvtnorm, methods, RUnit David Luethi <luethid@gmail.com> Philipp Erb, David Luethi, Juri Hinz, Simon Otziger GPL (>= 2) 2011-12-19 application/tgz http://CRAN.R-project.org/package=schwartz97