[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,
--
View this message in context: http://n4.nabble.com/ICE-commodity-swap-tp1341811p1341811.html
Sent from the Rmetrics mailing list archive at Nabble.com.
More information about the R-SIG-Finance
mailing list