NEWS

NFCP 1.2.1 (2022-02-17)

Minor bug fix in the HTML display of some equations rendered in the help pane

Major bug fixes in the consideration of deterministic seasonality throughout the 'NFCP' package.
The 'x_t' and 'X' objects returned within the 'NFCP_MLE' function now return the placement within the deterministic component the particular observation finds itself.
This will return more accurate parameter and forecasting estimates for commodity pricing models that consider deterministic forecasting.
NOTE Parameter estimates for commodity pricing models that considered deterministic seasonal components in prior versions may be inaccurate.
Minor bug fixes in the 'NFCP_MLE' function that did not allow for parallel processing, and resulted in an error for poorly estimated models

The 'NFCP' package now allows for the consideration of deterministic seasonality within commodity pricing models throughout the package.
The 'American_option_value' function now calculates American option on futures contracts of commodities, which is more reflective of actual options in commodity markets.
The vignette of 'NFCP' has been updated, with more detail throughout the document.
Deprecated function names removed
Fixed a bug in 'NFCP_MLE' when the ... argument 'hessian' is FALSE.
Removed the 'richardsons_extrapolation' argument of the 'NFCP_MLE' function, however it is still supported within the function by default.
Minor documentation changes

Original function names of the NFCP package are now deprecated and will be removed in a future version
Extensive function and parameter name changes to better fit the tidyverse style guide
Functions throughout the NFCP package now support the application of measurement errors that group contracts by set maturities. This is particularly useful for model estimation that uses full contract data, as it allows for the relaxing of the assumption that measurement errors are identical across observations.
Bug fixes for European option pricing
Other bug fixes and changes

Minor bug fix to Ornstein-Uhlenbeck simulation of the 'Spot.Price.Simulate' function

NFCP now depends on the 'LSMRealOptions' package
American put option pricing is now supported through the 'AmericanOptionValue' function and the 'LSMRealOptions' package
Minor adjustments to parameters of 'TSFit.Volatility' function
'NFCP.bounds' has been renamed to 'NFCP.Domains' and now allows for further customization of the search applied in 'NFCP.MLE'
Added American option pricing example to vignette
The 'NFCP.MLE' function now orders outputs in terms of increasing mean-reversion rates
The 'NFCP.Kalman.filter' function now returns the bias and RMSE of input parameters when 'verbose = TRUE' through the 'Filtered.Error' list object
The 'NFCP.MLE' function now returns the user, system and elapsed time through the 'proc_time' list object.
Minor bug fixes, particularly to the 'Spot.Price.Simulate' function