Package com.quantfinlib.commodities
@NullMarked
package com.quantfinlib.commodities
Commodity futures curves: roll yield, implied carry and curve shape.
CommodityCurve holds a spot +
futures pillar curve and computes annualized roll yield (positive for
a long in backwardation, negative in contango),
the market-implied storage-minus-convenience carry from the
cash-and-carry relation F = S e^{(r+u-y)t}, and strict
whole-curve shape tests. Pairs with
pricing.ExchangeOption.kirkSpreadCall for spread options
(crack/calendar) and execution.FuturesRollAlgo for
rolling the position. Research lane.-
Classes