Capturing Commodity Listed Future Trades

Choose Trade > Commodities > Listed Future to open the Future worksheet, from Calypso Navigator or from the Calypso Workstation.

Future Commodity Quick Reference

When you open a Future worksheet, the Trade panel is selected by default.

Ⓘ [NOTE: The trade counterparty must be a clearer, so you must have defined a legal entity of role Clearer]

Configuration

Define the exchange where the commodity trades by choosing from Calypso Navigator

Define the holiday calendar by choosing from Calypso Navigator

Define date rules by choosing from Calypso Navigator

Define the commodity product by choosing from Calypso Navigator

Define the future contracts by choosing from Calypso Navigator

See Commodity Futures Setup for details.

Entering Trade Details

You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable.

Or you can enter the trade fields directly. They are described below, see Field Description.

Note that the Trade Date is entered in the Details panel.

Proceed to the other panels as applicable.

Saving a Trade

Hit F5 to save the trade, or choose .

You can also hit F3 to save the current trade as a new trade, or choose Trade > Save As New.

A description will appear in the title bar of the trade worksheet, a trade id will be assigned to the trade, and the status of the trade will be modified according to the workflow configuration.

Pricing a Trade

A future commodity trade requires the following market data: a zero curve for discounting the cash flows, a commodity forward curve for forecasting the price. The future price quote is not used in pricing when the FUTURE_FROM_QUOTE pricing parameter is set to false.

You can choose to check if all required pricing data are available in the Pricing Environment.

Click Price to price the trade.

Trade Lifecycle

You can allocate the trade to multiple books using

You can terminate the trade using

You can liquidate the trade manually using

You can expire futures by choosing from Calypso Navigator, or the FUTURE_POSITION_EXPIRY scheduled task

You can compute margin calls on the clearing accounts in real-time or in batch mode – Refer to Calypso Futures Documentation for details

See also - All Trade Menus for information on functions, menus and panels common to all trade windows

1. Sample Future Commodity Trade

Choose for complete details.

2. Sample Asian Future Commodity Trade

The current value (PRICE) of the future is the average of both the known and unknown fixings.

The NPV of the trade is: NPV = (Current Value – Unit Price) * Notional.

Click Asian Fixings to view the fixing details.

3. Future Contract Display - Time Zone

This section describes how the future contract is displayed in the trade window according to the time zone selected.

The Future trade window displays the first available contract based on the trade date defined in the Future trade window, and the Last Trading Date defined in the future contract. The contract display uses the following logic:

The TradeDate of the Future trade is based on the TimeZone defined in the Locale window. From Calypso Navigator, choose .

It converts the TradeDate to the TimeZone defined in FutureContract window, and then compares it to the LastTradingDate of the Future.

Choose for complete details