Capturing Commodity Swaption Trades

To capture Commodity Swaption Trades, please use the Pricing Sheet - Commodity Swaption.

To capture commodity swaption trades in the Pricing Sheet, select the Commodity Swaption strategy and set the properties as needed. You can also select a strategy template to populate default values.

The following categories of properties are common to all types of strategies:

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Trade properties

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Product Amount properties

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Market Data properties

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Solver properties

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Dealt Data properties

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Keyword properties

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Pricer properties

See Strategy Properties for details.

Commodity Swaption Quick Reference

Pricing Sheet Strategy drop-down menu for selection.

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.

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

Please use PricerCommoditySwaption2.

A commodity swaption trade requires the following market data: a discount curve, a forecast curve, a commodity volatility surface, reset rates.

Note that a cross-currency commodity swaption also requires an FX curve, an FX rate, and an FX reset.

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 and partially terminate the trade using

You prices by choosing

You can exercise the option using or from Calypso Navigator by choosing