Valuation models

Commodity swaps

Each period's average forward over its fixings against a fixed price, from a forward curve or spot with storage and convenience yield, with par price, delta and PV01.

Inputs

Results

Explain this result

Get a plain-English reading of the numbers above and what drives them.

Preview: rule-based reading. AI-assisted explanations run on the analytics core.

Methodology

Conventions

  • Each period pays the average of the commodity price over evenly spaced fixings against the fixed price, at the period end.
  • Forwards from a forward curve (linear in time), or spot carried at the rate plus storage less convenience yield.

References

  • Hull, Options, Futures, and Other Derivatives
  • Geman, Commodities and Commodity Derivatives

Formulas

Value
V = ±Q Σ (F̄ᵢ − K) P(Tᵢ)
Par
K* = Σ F̄ᵢ P(Tᵢ) / Σ P(Tᵢ)