Hedging a Commodity-Linked Portfolio: Matlab source code of sensitivity-based hedging simulation using the one-factor future model by Clewlow and Strickland in 1999
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Table
Tests_Sensitivities
defined_functions
future_sens_func
hedging_functions
model_functions
spot_sens_func
swap_sens_func
.gitattributes
.gitignore
Curve_Cost.m
SWAP_Results.txt
curve_D.m
experience_1.m
experience_2.m
min_F.m
min_F2.m
produits.docx
sens_Relate_Spot.m
sens_Relate_Swap.m
sensitivitiesRelatedToForward.m
values_of_pfolio.m