Evaluates commodity swaps, options, and exotic structures with seasonality, convenience yield, and storage cost analysis. Use when pricing commodity derivatives, analyzing energy structures, or evaluating commodity hedging.
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Evaluates commodity swaps, options, and exotic structures with seasonality, convenience yield, and storage cost analysis.
Map the structure — Decompose the trade into component legs: swaps, options, and any embedded optionality. Identify payoff formulas and confirm whether settlement is physical or cash.
Build/validate the forward curve — Verify the futures term structure. Check for seasonal patterns (e.g., winter/summer spreads in natural gas, harvest cycles in grains). Note whether the curve is in contango or backwardation and the implied roll yield.
Estimate convenience yield and cost of carry — Calculate implied convenience yield from the forward curve using:
F(t,T) = S(t) × e^{(r + u − y)(T−t)}r = risk-free rate, u = storage cost rate, y = convenience yieldCalibrate volatility — Select the appropriate volatility surface. For energy structures, apply seasonal volatility adjustments (e.g., winter gas vol premiums). For Asian options, compute the effective variance reduction from the averaging mechanism. For spread options, estimate correlation between the two underlyings.
Price component instruments:
Compute Greeks and sensitivities — Report delta (per unit underlying), gamma, vega (per 1 vol point), theta (per day), and rho. For spread structures, include cross-gamma and correlation sensitivity. For calendar structures, break out Greeks by delivery month.
Run scenario and stress analysis — Test P&L impact under:
Assess hedge effectiveness (if applicable) — Calculate prospective and retrospective effectiveness using dollar-offset or regression methods per the applicable accounting standard. Flag if the hedge ratio falls outside the 80–125% corridor or fails the "highly effective" threshold. [VERIFY — effectiveness thresholds depend on ASC 815 vs. IFRS 9 designation]
Compile findings — Summarize pricing, risk metrics, scenario results, and any structural concerns (e.g., gap risk at barriers, liquidity risk in off-peak months, basis risk between hedge instrument and underlying exposure).
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