A supporting work has been conducted meanwhile. It is about the development of a robust pricing system over crude oil products. This system is called The Black Money Pricer. It will permit to people to price products. It implements the two-factor model for commodities of Schwartz and Smith. It differentiates short-term variations and long-term dynamics that represent fairly well the evolution over time of different types of crude oil prices. The goal of this part is to provide a practical tool destined to agents with certain knowledge of financial assets. This task has been undertaken so that we can work the calibration of a complex dynamic model. The valorization relies on building a computational core using QuantLib to release the tool as an open source contribution. Luigi Ballabio has accepted our participation to the Open Source library. He also potentially validated the implementation we have done. Nevertheless, we kept our focus on the principle matter, which is the publication of our researches. This valorization with QuantLib is left as a second possible one for later. The software we provide today was developed in C#. We choose it to have an easy multithreading management system as well as data-binding utilities, using the .NET framework and MATLAB compiler runtime.

The Team

The authors of the paper are:

Assisted for testing and debuging by:

From: ECE Paris Graduate School of Engineering, 37 quai de Grenelle CS71520, 75 725 Paris 15, France


This module has been developped in Matlab and we added a C# user interface. Both are available on GitHub: https://github.com/BietteMaxime/black-money-pricer

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