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pedawia
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Joined: February 1st, 2013, 3:58 pm

Best resources for commodity swaps?

February 13th, 2013, 3:07 pm

Hey everyone. What are the best resources (textbooks, papers) on commodity swap valuation? Thanks!
 
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tags
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Joined: February 21st, 2010, 12:58 pm

Best resources for commodity swaps?

February 15th, 2013, 8:21 pm

unfortunately, there are very few people in commodities, here.
 
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willsmith
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Joined: January 14th, 2008, 11:59 pm

Best resources for commodity swaps?

April 9th, 2013, 10:34 am

What are you swapping? It would probably be useful to model the underlying dynamics of the two assets - different commodities have very different spot price behaviours.
 
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Stale
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Joined: November 7th, 2006, 3:20 pm

Best resources for commodity swaps?

April 10th, 2013, 7:23 am

For instance, all forwards on power is actually a swap, with a payout over a period and not as a single point. You would then go ahead an model the spot price process, and the rest is discounting and averaging over a period.