[R-SIG-Finance] ICE commodity swap

Megh megh700004 at yahoo.com
Thu Jan 28 09:53:38 CET 2010


Dear all, here I was studying the commodity swap contracts traded at ICE, one
of them is "Singapore 0.5% Gasoil Swap", contract specification is here :
https://www.theice.com/productguide/ProductDetails.shtml?specId=1206

Here in daily settlement process, it is written as "Floating Price will be
determined by ICE using price data from a number of sources including spot,
forward, and derivative markets for both physical and financial products"

Can anyone please provide me any details what is the formula they are using
to determine that and exactly what spot, forward quotes they are using? Is
there any data-sources to find the historical daily quotes as well?

Thanks and regards,
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