[R-SIG-Finance] alternative lists (was : ICE commodity swap)

[Brian G. Peterson]

Patrick Burns wrote:
> On 28/01/2010 10:14, Brian G. Peterson wrote:
> 
>  ...
> 
>>
>> And what did this have to do with R anyway?
> 
> I also inferred a minimal R content.  But it is
> hard for me to blame people too much for posting
> off-topic questions if we don't offer them any
> alternatives.
> 
> For basic R questions we obviously have R-help.
> Can we suggest any finance-related lists as suitable
> alternatives?

Well, clearly anything googled as 'trading forum' have discussions like this 
all the time. YMMV as to the quality of information to be found on these forums.

Of course, every research question is different, and forums (or lists such as 
this one) do not always have credible information.  What process would the 
interested researcher follow to get reliable (tradable) information?

Specific to the inquiry about ICE, or any other exchange traded product, the 
first resource *should* be to call the exchange.  They have support numbers for 
a reason, this is one of them.  So the exchange should be the *first* avenue of 
inquiry for product details on products traded on that exchange.

Next, try calling your data vendors.  One of the reasons you pay a bunch of 
money to Reuters, Bloomberg, QAI, etc. is so that you can call them and ask 
them questions.

In doing product research on derivative products, I usually find it useful to 
work your way back up the chain closer to the underlying instrument.

So, for this example.

Singapore 0.5% GasOil Swap

The contract spec says that:
"In respect of final settlement, the Floating Price will be a price in USD and 
cents per barrel based on the average of the mean of the relevant high and low 
quotations appearing in the 'Platts Asian-Pacific MarketScan' under the heading 
`FOB Singapore of Gasoil Reg 0.5% sulfur' for the contract month."

The Platts reports are subscription products.  The interested user would call 
their clearing broker and custody broker and ask them to send you copies.  Most 
brokers have access to more research reports than one would ever want to 
actually read. An old copy of the Platts report may be seen for reference here: 
www.platts.com/IM.Platts.Content/ProductsServices/Products/apagscan.pdf

This raises another interesting research opportunity.  Call your brokers.  They 
want you to trade more things in higher volume.  They'll be happy to trot out a 
'asset class expert' or some-such to talk to you.  They might even know 
something about the products in question.

Let's assume none of that works out.  One might continue working back towards 
the underlying products.

The Department of Energy posts helpful daily close prices on energy products.

http://tonto.eia.doe.gov/dnav/pet/PET_PRI_SPT_S1_D.htm

Our tax dollars even provide copious amounts of historical data.  Singapore Gas 
and Singapore Heating Oil are both listed, as is Singapore GasOil (I assume the 
spread, but maybe the original exchange even sells a swap, and ICE is just 
freeloading with a US$ product).  If one spoke Chinese, I'm sure even more 
market quotations would be available.

Research is a process (as Patrick clearly knows).  Hopefully my spending a 
little time to elucidate that process has been useful for our readers.

Regards,

    - Brian

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