[R-SIG-Finance] [R-sig-finance] Commodity swap?
bogaso.christofer at gmail.com
Thu Mar 12 15:02:03 CET 2009
Any suggestion/reference please?
> Hi, currently I am working on commodity swap. Can anyone provide me some
> good references on Risk management for commodity sawp i.e. how to
> calculate Value at Risk for a portfolio having atleast one position in
> commodity swap, decomposition of risk etc under various methodologies like
> parametric, simulation etc? Any good book and/or online references will be
> highly appreciated. Is there any implementation on R itself?
> Also, if possible, information on where to get data on commodity swap over
> Thanks and regards,
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