CommodityCommoditySwap

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CommodityCommoditySwap

	CommodityCommoditySwap Pricing
	CommodityCommoditySwap Static Replication
	CommodityCommoditySwap Hedge

CommodityCommoditySwap Product Fields

Mandatory Fields


Counterparty- Account		The Counterparty Name and Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
No. Units	Amount	The number of instruments (Stocks, Shares, Financial Future Contracts) etc you have bought or sold
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Commodity	Commodity	The commodity curve used to value the asset.
Maturity	Date	The date when the contract expires.
Frequency	Integer	Frequency at which coupons are paid.
Total Return	Checkbox Button	If Total Return is enabled, dividends are reinvested in the underlying stock. If not, dividends go into the cash-account and are reinvested at the prevailing overnight rate.
Reset Index	Reset Index	The Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.
Fixed	Radio Button	This flag defines if the rate paid or received is fixed or floating.
Frequency	Integer	Frequency at which coupon are paid.
Coupon	Rate	The Coupon defines the annual rate paid the issuer. The coupon is divided by the frequency to define payments.
Begin Level	Price	The begin level of the index.

Rule Based Fields

Asset Price	PRICE	The market price of the Asset.
Beta	FACTOR	Beta is the measure of volatility and correlation relative to the market index. Beta=Volatility Index/Correlation(Index, Stock). You must define an Asset Price if you set Beta.
Dividend	RATE	The Average Dividend paid in percent by the asset.

Optional Fields


Tag	TAGS	The Tag(s) associated with the position(s). Tags are defined as uris with / in order to slice and dice valuation. A Tag is always preceded by the name of the dimension to which it belongs.
Portfolio	PORTFOLIOS	The Portfolio to which belongs the position.
Buy	BUYSELL	The Buy or Sell flag. Long positions are bought. Short positions are sold.
Fx-Hedge	PERCENT	The foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The Date when the position is taken into account in the Analysis.
Close Date	DATE	The Date when the position will ceases to be taken into account in the Analysis.
Settlement	DATE	The Date(s) when the trade(s) is(are) settled.
Settlement Price	PRICE	The Price(s) paid when the instrument settles.
Settle Ccy	CCY	The Currency(ies) of The settlement price(s). The currency is used to convert and discount flows with the currency's riskless rate.
Dividend	RATE	The Average Dividend Yield paid in percent by the asset.
End Level	PRICE	The asset level at redepmtion. This field is only used in instances when the end level has be guaranteed or hedged out.
Total Return	CHECK	True if Total return (Asset Price + Dividends) are used to price the stock
Known Rate	RATE	The Known Reset Rates

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