PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures

Peilun He; Nino Kordzakhia; Gareth W. Peters; Pavel V. Shevchenko

doi:10.5334/jors.537

PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures

Peilun He^*, Nino Kordzakhia, Gareth W. Peters, Pavel V. Shevchenko

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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Abstract

PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipović and Larsson [10] through both a Shiny web application and R scripts. For user-supplied data, a standalone R routine has been developed to provide joint estimation of state variables and model parameters via the Extended Kalman Filter (EKF) or Unscented Kalman Filter (UKF). With its user-friendly interface, PDSim makes the features of simulations and estimations accessible. To date, it is the only package specifically designed for the simulation and estimation of the polynomial diffusion model. The Schwartz-Smith two-factor model [22] is also available within this package for both simulation and calibration. The package is validated through several tests, including replication of the results in [22], unit testing of the coverage rate, and verification of the outputs of the main functions.

Original language	English
Article number	21
Pages (from-to)	1-11
Number of pages	11
Journal	Journal of Open Research Software
Volume	13
Issue number	1
DOIs	https://doi.org/10.5334/jors.537
Publication status	Published - 3 Oct 2025

Bibliographical note

Copyright the Author(s) 2025. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

polynomial diffusion model
Schwartz-Smith model
commodity futures
two-factor commodity modelling
financial simulation
Polynomial diffusion model

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Publisher version (open access)Final published version, 902 KBLicence: CC BY

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title = "PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures",

abstract = "PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovi{\'c} and Larsson [10] through both a Shiny web application and R scripts. For user-supplied data, a standalone R routine has been developed to provide joint estimation of state variables and model parameters via the Extended Kalman Filter (EKF) or Unscented Kalman Filter (UKF). With its user-friendly interface, PDSim makes the features of simulations and estimations accessible. To date, it is the only package specifically designed for the simulation and estimation of the polynomial diffusion model. The Schwartz-Smith two-factor model [22] is also available within this package for both simulation and calibration. The package is validated through several tests, including replication of the results in [22], unit testing of the coverage rate, and verification of the outputs of the main functions. ",

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AU - Peters, Gareth W.

AU - Shevchenko, Pavel V.

N1 - Copyright the Author(s) 2025. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

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PDSim: a shiny app for simulating and estimating polynomial diffusion models in commodity futures

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