Commodity Swap - Curve Underlying

 

Before you begin

• Create commodity resets using Configuration > Commodities > Commodity Reset from the Calypso Navigator.

 

Creating a Commodity Swap Underlying

Commodity swap underlyings are used in combination with Swap Calendar Commodity Spread underlyings to build commodity curves.

» Click New to create a new underlying.

Complete the details as described in the table below.

Click Show to display the generated forward points.

» Click Save to save the underlyings. Each underlying is given a unique ID by the system, and is displayed in the table.

 

Fields Details

Fields Description

Name

Enter the name for the curve underlying.

Commodity Reset

Select a commodity reset. It is used for the holiday calendar and forward price calculation method.

Date Format

Select either Monthly, Quarterly, Semi-Annually or Annually.

Currency

Displays the currency of the selected commodity.

Unit

Displays the unit of the selected commodity.

Number of Fwd Points

Enter the number of points to generate.

As Of Date

Enter the generation start date.