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We propose a non-parametric extension with leverage functions to the Andersencommodity curve model. We calibrate this model to market data for WTI and NGincluding option skew at the standard maturities. While the model can becalibrated by an analytical formula for the deterministic rate case, thestochastic rate case demands estimation of an expectation for which we employMonte Carlo simulation. We find that the market smile is captured for thedeterministic rate case; and with relatively low number of paths, for thestochastic rate case. Since there is typically at most one standard maturitywith liquid volatility data for each futures contract, there is flexibility onthe shape of nonstandard maturity implied volatility and how the total impliedvariance accumulates. We equip the model with different total implied varianceaccumulators to demonstrate that flexibility.

A Flexible Commodity Skew Model with Maturity Effects