Commodities

Structure and Price Any Type of Commodity Derivative

Numerix provides comprehensive coverage for any conceivable type of commodity instrument through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard commodity models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

All commodity underlyings, such as WTI, heating oil, natural gas, metals, agricultural commodities and others
Commodity futures
European commodity options
European options on commodity futures
Asian commodity options
Commodity swap
Commodity-linked note
Commodity principal-protected note
Best-of/worst-of-N asset basket option
Best-of/worst-of-N performance basket option

Models and Methods*

Gabillon model
Black model
Schwartz one-factor model (stochastic spot price with mean-reverting dynamics)
Heston stochastic volatility model
Estimating seasonality coefficients from historical data
Support of rolling underlying future contracts

*Not an exhaustive list

Commodity Solutions from Numerix

Numerix CrossAsset (Commodity Module)
Flexible pricing and risk analytics, available in Excel or APIs in C#, C++ or Java
Numerix Bloomberg Edition (Commodity Module)
Daily MTM in Excel and BPS with turnkey Bloomberg data
Numerix LiquidAsset
Function-based pricing for liquid derivatives
Valuation Services
Fully documented independent valuations of your commodity portfolio
Numerix Partner Solutions
Premier front-to-back trading and risk systems integrated with Numerix analytics