Commodities

Commodities

Structure and Price Any Type of Commodity Derivative

Numerix provides comprehensive coverage for any conceivable type of commodity instrument through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard commodity models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*
  • All commodity underlyings, such as WTI, heating oil, natural gas, metals, agricultural commodities and others
  • Commodity futures
  • European commodity options
  • European options on commodity futures
  • Asian commodity options
  • Commodity swaps
  • Commodity-linked notes
  • Commodity principal-protected notes
  • Best/worst-of-N asset basket options
  • Best/worst-of-N performance basket options
Models and Methods*
  • Black model (deterministic convenience yield)
  • Schwartz one-factor model (stochastic spot price with mean-reverting dynamics)
  • Gibson-Schwartz two-factor model (stochastic spot price and convenience yield)
  • Heston stochastic volatility model
  • Estimating seasonality coefficients from historical data
  • Support of rolling underlying future contracts
  • Hybrid single- and cross-currency commodity basket models
  • Hybrid single- and cross-currency models for mixed baskets containing equity, FX and commodity assets

*Not an exhaustive list

Commodity Solutions from Numerix

CASE STUDY

Canadian Wheat Board: “We can now price our whole portfolio in less than half an hour at our own convenience."

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