Commodity Product Definition

The commodity product stores information that is used to set defaults for trade capture and valuation. It links market data to pricing through its designation as an underlying in forward curves, volatility surfaces, future contracts and forward point instruments.

Commodities are typically referenced throughout the system using a naming convention of Currency/Name/Location.

 Ⓘ   [NOTE: The commodity trade windows require that you create the commodity product, and then create the commodity reset definition using Configuration > Commodities > Commodity Reset from the Calypso Navigator. Trade capture is based on the commodity reset definition]

 

From the Calypso Navigator, choose Configuration > Commodities > Commodities.

» Existing commodity products are loaded by default. Select a commodity product to view the product details in the fields described below. You can modify the details and click Save as needed.
» To search for a commodity product in the list, enter some letters in the search box. You can click the icon to specify the search.

» To create a new commodity product, click or choose File > New, complete the details described below, and click Save to save the commodity product.
» Click ... to add values to the drop-down menus in the window.

 

Commodity Details

Field Description

Currency

Select the currency in which the commodity is quoted.

Note that the commodity currency and the future contract currency must be the same. The commodity currency and the commodity forward point currency must also be the same.

Name

Select a name for the commodity.

You can click ... to add a new name as needed.

Location

Select the delivery location of the commodity.

You can click ... to add a new location as needed.

 

Settings Details

Field Description

Source

Select the entity responsible for releasing official prices for the commodity or for the associated future contract. Typically this would be a commodities exchange, but could also be a publication or an over the counter marketplace.

You can click ... to add a new source as needed.

Quote Unit

Select the commodity unit of measure in which the price is given. Units can be converted using a conversion table, but values in the quote set will always be given in this unit.

You can click ... to add a new quote unit as needed.

Code

You can select a product code from the drop down and view its value.

Click ... to set product code values as needed.

A variety of important defaults can be set from the code field including: Commodity Fixing Calendar, Commodity Decimal Precision, Commodity Family/Group, and Market and data feed codes.

Example:

COMM_FIX_PRICE_DEC — The number of decimal places to which the floating price of a commodity derivative will be rounded.

Type

Select the type of commodity. The default type is Commodity.

Additional types are available out-of-the-box. They are associated with additional attributes used in pricing.

• Electricity - See Electricity Commodity Product for details
• Storage Based - See Storage Based Products for details
• Emission - See Emission Commodity Product for details
• Freight - See Freight Product for details

 

Risk Config Details

Field Description

Risk Unit

Select the unit of risk for the commodity.

You can click ... to add a new risk unit as needed.

 

Settlement Days Details

Field Description

Physical

Cash

Enter the number of lags days for physical and cash settlement.

Lag information for Forward trade entry is taken from the underlying commodity on the reset.

For emission resets where there are potentially multiple underliers, the lag information is taken from an arbitrarily chosen underlying.

 

Quantity Config Details

Field Description

Decimals

Enter the number of decimals that can be captured in trade quantity. This field has no impact on rounding or any report displays.