Commodities

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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 Available*

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