CD - Commodity

Comprehensive Commodity coverage in FINCAD Analytics Suite includes exotic and vanilla options such as Asian, barriers and spread options.  uses Local and stochastic volatility models (such as Heston and SABR), along with the log-normal (Black-Scholes) model. FINCAD Analytics Suite 2009 for Excel gives you the power to do all your analysis on a spreadsheet with the option of using our professionally designed and developed workbook solutions.

Highlights of Commodity Coverage:

Download a more complete list of Commodities Coverage (524KB PDF)

Options - Exotic and Vanilla

Average strike

Double average

Deferred strike

Barriers - various types

Binaries - various types

Multi-asset - various types

Chooser

Compound

Lookback

Power & quotient

Quanto

Spread

Variance / volatility swaps

Altiplano

Cliquets

Asian
Volatility Derivatives

Variance swaps

Volatility swaps

Conditional variance swaps

Corridor variance swaps

Variance options

Other Commodity Derivatives

Forwards and futures

Options on commodity futures

Swaps and swaptions

Option Styles:

American

Asian

Bermudan

European
Models & Methods

Local Volatility

Stochastic Volatility

  • SABR
  • Heston

Black-Scholes

Binomial

Monte Carlo simulation

Utilities

Implied calculations

* Volatility, strike, rates, etc

* Goal seek on any parameter