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

[Edmund Jackson]

Neil,

I think you might be multiplying the price in twice there. I would say its
num_contracts * contract_size * price_of_underlying

ie for Nymex Crude

value of N contracts = N * 1000 * $68

Edmund

ngottlieb at marinercapital.com wrote:
> 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
>> --------------------------------------------------------
>>
>>  
>>  
>> This information is being sent at the recipient's request\...{{dropped}}
>>     
>
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