[R-SIG-Finance] Question: How to Notionalize a Commodity Future?

[ngottlieb at marinercapital.com]

Whit:

Thanks for your quick response.
I tried doing this:

# of contracts x contract price x contractsize x underlying price of the
contract size (ie. 18,000 bushels at whatever amount).
                                          Contracts      Price     Quote
Units       Contract size        cents/per pound
	BOK7 Comdty	SOYBEAN OIL FUTR May07	200	          32.48
lbs.	cents/lb.	60,000.00	         .01 

  I am not sure if this is correct to get notional value?

Neil

-----Original Message-----
From: Armstrong, Whit [mailto:whit.armstrong at hcmny.com] 
Sent: Friday, June 15, 2007 10:56 AM
To: Gottlieb, Neil
Cc: r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?

notionalize?

If you are talking about the notional value of a conctact it's just
price * contract size, but sizes are specific to each contract.  you can
get this information from the exchanges or from BBG. 

> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of 
> ngottlieb at marinercapital.com
> Sent: Friday, June 15, 2007 10:49 AM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] Question: How to Notionalize a Commodity 
> Future?
> 
> Does anyone know how to notionalize a commodity future (i.e CBT Corn, 
> CBT Soybean etc.)?
> 
> And if so what is the calculation?
> 
> Thanks,
> Neil Gottlieb
> --------------------------------------------------------
> 
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