[R-SIG-Finance] ICE commodity swap

[Brian G. Peterson]

Megh wrote:
> 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,

The point is, they don't tell you.

I've dealt with ICE before, and it can be maddening trying to get details out 
of them.

So, maybe if you call the exchange support folks and ask them, you *might* get 
an answer, but probably not.

Or, you can guess.  There are only so many markets where natural gas and 
heating oil are traded.  Clearly, for this one, I'd start with Singapore 
prices.  See how close you can get using observable market factors.  That might 
let you know whether you want ICE as a counterparty.

And what did this have to do with R anyway?

Cheers,

    - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock