Defines the trade date. This field defaults to today, but you can change it using the + and - buttons, or enter a date manually.

Note that:

Once market data is displayed in the page, when you change the trade date the market data is updated automatically.

If you enter a historical date, the market data that is displayed for the deal is the saved market data for that historical date

Defines the additional premium that will be paid if you decide to actually exercise the compound instrument and so enter into its underlying option.

Although this premium is set on the trade date it is not paid until the extension date, and only in the event that on the extension date you choose to exercise the compound instrument and so enter into the underlying instrument.

Defines the option class. You can select an option from the dropdown list, enter its shortcut code or use the autocomplete functionality.

Defines the underlying futures contract.

When pricing an instrument, you must necessarily define an underlying—which consists of an asset and its underlying contract. For each asset there is a market convention regarding the default underlying contract. So depending on the asset itself the default underlying contract can be any of the following:

Nearby contract (also known as the front month).
This is the nearby contract relative to the expiry date, so for an instrument with an expiry date of 16 January 2014, the contract is March 2014.

Spot

Day ahead price
This is used for an electricity asset only, and defines the futures price for electricity delivering continuously over the whole of the next business day.

3MT

By default SD uses the market convention contract. However, for supported instruments (and depending on the selected asset), you can also choose to use a specific underlying contract instead, by selecting the Contract setting from the Underlying dropdown list and then defining the specific contract.

In addition note that:

If the instrument involves fixings, this field also determines on what the fixings are to be based. Accordingly, in this dropdown list there may be extra choices available—as relevant to the selected asset, i.e., whether it is an OTC or listed asset, etc. So, for example, if you are pricing an Asian on Copper (grade A), besides being able to select the front contract or a specific contract you can also choose to use the spot contract or the 3MT contract instead.

For a barrier option, this field determines on what the trigger is based.

For a Calendar Spread you define an underlying contract for Contract 1 and a different one for Contract 2.

For a vanilla strip, a European binary strip, or a European knock out strip, by default the underlying contract for each underlying instrument in the chosen strip is automatically set to the nearby contract. However, if required, you can choose to use a specific contract for the entire strip instead.

For an accumulator or a decumulator, this field is used as the underlying for the accumulation level and all defined conditions. It is also used to set the default expiry date of the instrument.

When pricing a vanilla or a vanilla strip, on most assets you can only set the asset’s underlying to either the nearby contract or to a specific contract. However, when pricing these instruments on some on some base metal assets you can choose to set the underlying for one of these instruments to 3MT or spot instead. The base metal assets for which you can do this are as follows—Copper (grade A), Aluminium (primary), Aluminium Alloy, Aluminium (NASAA), Lead (standard), Nickel (primary), Tin and Zinc.

For a swap, when you enter the swap SDX Commodities & Energy automatically displays in this field the fixed rate that will give a zero cost swap (i.e., it is defined to be the same as the calculated floating rate, which SDX Commodities & Energy calculates as the average of the futures over the period of the swap).

You can of course then manually edit it and then recalculate the swap. That is, it acts like a strike where you can choose the rate you are trading the asset at.

Defines the start of the barrier monitoring window for an American style of an Asian with Barrier.

Defines the type of barrier window definition to be used for an Asian Strip with Barrier.

There are two options for defining the barrier windows, as follows:

Choose At Period to set each Asian's barrier window to the duration of that Asian.

Choose Same Begin Date to set each Asian's barrier window barrier to begin on the start date of the first Asian in the strip.

Defines the currency pair’s spot rate. By default the real-time mid rate is displayed.

Defines the exchange rate (or strike) to be used in a quanto option.

For instruments that do not necessarily begin immediately (for example, in Asian strips, Asian strip strategies, swap strips and swaptions, the underlying swaps can begin at some point in the future), the Begin Date and End Date fields indicate when the underlying instruments begin and end.

For an Asian and swap, the Begin Date and End Date fields let you see and then edit the fixing period for these two instruments directly in the Portfolio page itself (this is in addition to being able to do this in the Fixing Details window).

Regardless of the usage, these two fields are initially read-only, that is they are automatically set by the system when you enter the following information for an instrument:

Its fixing and/or expiry frequency.

Its expiry date (for an option with a single expiry, such as an Asian option) or duration (for an instrument with a strip of underlying instruments, such as Vanilla strips or Asian strips) or swap term (for swaps, swap strips, and swaptions) which you enter in the Expiry/Term field.

The system uses these details to work out the range of the instrument or strip of underlying instruments. It displays this range using the Begin Date and End Date fields. Once these dates have been set by the system, you can then manually edit them.

The first fixing and/or expiry date is always set relative to the date in the Begin Date field. Subsequent fixings and/or expiry dates are then determined according to the frequency schedule and defined up until and including the date in the End Date field.

If you enter a strip instrument's duration using one of the duration shortcuts, the Begin Date field is set to the beginning of the period specified by the shortcut, even if that date occurred in the past. So for example, if in April 2008 you specify a shortcut of cal08, the Begin Date field is set to the first trade date in January 2008, and the End Date field is set to the end of 2008.

For an accumulator or a decumulator, the Begin Date field defines the start of the accumulation period. By default it is set to the trade date, but you can then edit it.

Defines (for a swap) the last fixing date.

Defines the frequency on which fixings need to be set over the life of the instrument.

This data helps SDX Commodities & Energy work out on which dates the fixings need to be set.

The choices include the following:

Daily

Weekly
This setting lets you control on which day of the week the fixings will fall. The system will always set all subsequent fixings to take place on the same day of the week as the begin date.

Monthly
This setting lets you control on which day of the month the fixings will fall. The system will always set all subsequent fixings to take place on the same day of the month as the begin date.

Beginning of month

End of month

Penultimate Date
For each month this defaults to the day prior to the exchange date of the relevant commodity. For example, if the exchange date is February 13, then the penultimate date is set to February 12.

Exchange dates
For each month this defaults to the exchange date of the relevant commodity.

Last 3 days
This defaults to the last 3 days of the instrument’s lifespan.

Last 15 days
This defaults to the last 15 business days of the instrument’s lifespan.

Quarterly
This defaults to the last day of each quarter.
This setting lets you control on which day of the month the fixings will fall. The system will always set all subsequent fixings to take place on the same day of the month as the begin date.

Other
This is set automatically by the system when you edit the default fixing dates in the Fixing Details Window.
You cannot choose it manually.

Defines the expiry of the last option in the strip.

Defines the date of the first fixing.

For a vanilla strip this field defines the underlying price for a vanilla strip. It is the average of all the underlying forward rates of the individual options that make up each vanilla strip.

When you enter the expiry date for the vanilla strip in the Portfolio pricing page the relevant underlying price is automatically displayed along with the rest of the market data that SDX Commodities & Energy provides.

You can see the individual forward rate for each underlying vanilla option by clicking the Expiry Dates & Rates button. If you change any of the individual forward rates, the underlying price is automatically recalculated for the new forward rates.

For an Asian and an Asian strip this field defines the underlying swap rate for the period of the option which is then used to calculate an Asian option or an Asian Strip. For an Asian option the swap rate is simply the swap rate for that option. For an Asian Strip, the swap rate displayed is the average of the individual swap rate for each individual Asian option in the strip. Once the swap rate is displayed, it is not updated when you click the Refresh button. However, if you change the fixings for an Asian or Asian strip, the underlying swap rate is automatically recalculated for the new fixings.

For a cash flow this field lets you set whether the underlying price for the underlying cash flows will be defined as an amount or as a percentage.

It is also supported for a swap, swap strip, forward, forward strip, and a basis swap.

In this field, you can edit the underlying future or swap price of supported assets. It is important to note that for a strip or strip strategy, the underlying swap price is the average of all the underlying forward rates of the individual options that make up the strip or strip strategy. Accordingly, when you edit the underlying price for an instrument with historical fixings, the new value set for the future or swap price cannot be less than the average of the historical fixings set so far. If this is the case, you will need to either edit the swap price set or edit the historical fixings.

Defines the trigger that must be hit in order during the option’s lifetime to activate the underlying option. If it is hit, there is a payout.

Defines the range within which/outside of which the underlying asset must remain during the option’s lifetime.

Defines the trigger that must not be hit during the option’s lifetime.

Defines the trigger that must not be touched during the option’s lifetime. If it is touched, there is no payout.

Defines the unit of futures (and the strike that will be used to calculate the payout for this accumulated quantity) that will be used to determine the quantity of futures that will be accumulated on this fixing date if the trigger is hit.

The actual quantity is calculated by multiplying the unit defined in this field by the defined volume per fixing.

Defines the duration of the delivery period for an option on electricity prices. This field is set automatically by the system once you enter a duration shortcut code in the Underlying Forward Contract field.

For:

An exchange-traded option it is the delivery of the underlying future. It is not the date of the actual delivery of the underlying commodity.

An OTC option it is the cash settlement of the option itself. These dates are set according to market conventions. For example, for all Asian options the settlement date is automatically set to be two business days after the expiry date; for base metals the settlement date is automatically set to be two business days after the expiry date.

A forward it defines the date the forward contract is settled by physical delivery of the asset or cash settlement.

An accumulator and decumulator it defines the date on which the payment is settled. By default the instrument's settlement date is set to 3 business days after the expiry date.

The user can edit the data defined by the system.

To see the delivery or settlement data for individual instruments in a strip, you need to access the Expiry Dates & Rates window (which is opened by clicking the Expiry Dates & Rates button or the Settlement Dates button, depending on the instrument).

The dataATM volatility, bid/ask spread, forward price, forward points, 25 delta collar, 25 delta strangle.3 displayed in the market data area is always displayed for the option's expiry date. For some options it is also displayed for additional dates.

That is, for:

Partial barrier options, this data is also displayed for the trigger start, as well as for the trigger end date if this is different from the expiry date.

For chooser options, this data is also displayed for the expiry date of the chooser option itself (as well as for the expiry date of the underlying option).

For compound options, this data is also displayed for the expiry date of the compound option itself (as well as for the expiry date of the underlying option).

Displays the bid-offer spread for the ATM volatility.

This description will be available shortly.

This description will be available shortly.

This description will be available shortly.

For a multi-asset instrument (e.g., a spread swap, spread swap strip, spread option, spread option strip) this checkbox defines whether there is a link between the volumes of the underlying assets.

If you:

Uncheck it, you can define a separate volume for each asset. That is, changing the volume of one commodity has no effect on the volume of the other. This lets you edit the system's default conversion factors according to your own view of the market.

Check it, then if you enter or edit the volume of one commodity, the same change is automatically applied to the volume of the other commodity—of course taking into account the conversion factor between the underlying assets and the units of measurement, where applicable.

Where this information is available for the selected assets, SD uses the actual conversion factor. If there is no conversion factor available, SD uses a default value of 1. You can then always edit the displayed conversion factors according to your own view of the market. In a crack instrument, you can do this by altering the defined weights, in a spread option, you simply uncheck the Link Volume checkbox, etc.

For more information on the conversion factors used in the system see the Conversion Factors Window.

For each asset you must define the weight, and if it is - +.

- means that the buyer of this instrument is selling the asset; + means that the buyer of this instrument is buying (or receiving) the asset.

For a spread swap 3-leg option and a spread swap 3-leg strip:

When you define a weight for asset 1, the system automatically defines the weights for asset 2 and asset 3 using its conversion factors. You can then edit the weights for asset 2 and asset 3 individually if required.

The weight of asset 2 and of asset 3 is used to convert the swap rate of that asset in its default unit (as shown in the Swap Price field for that unit) into the swap rate for that asset in the default unit of asset 1.

These signs also define whether you want to add (+) or subtract (-) its swap rate to the swap rates of the other assets in order to calculate the instrument's actual spread.

Defines the notional of the option in the base currency. If you enter a value here, SDX Commodities & Energy automatically updates the volume. It does this by dividing the notional by the strike.

For Asian-based options, you can shift the volatility surface by a certain amount. The arrow increases/decreases the volatility surface in increments of 0.10.

This lets you use SuperDerivatives' market data to calculate the option but also lets you profit from an increased margin by changing the ATM volatility spread.

Displays the maximum amount of futures that you may have to buy or sell (depending on the selected instrument), taking into account the Above condition, Below condition, and Trigger Level (if they are defined).

It is calculated as follows:

max(Above Accumulate amount, Below Accumulate amount, Trigger Amount) * volume per fixing * no. of fixings

Defines the Above condition, which defines the quantity of futures that will be accumulated (and the strike that will be used on the expiry date to calculate the payout for this accumulated quantity) if the underlying is above the accumulation level on the fixing date.

For more information on this condition see the Accumulator topic or the Decumulator topic.