Lets you price supported instruments in a quick and easy way using a set of predefined parameters, each separated by one or more spaces.

For more information on using the Shortcut field, see Pricing an Instrument in the Shortcut Field .

Lets you define the commodity.

You can choose the commodity from a dropdown list, or enter it using its shortcut. Alternatively, use the autocomplete functionality.

For the selected option, SDX Commodities & Energy then opens the required fields and fills them in where appropriate.

Lets you switch the asset's default base unit to a different unit of measurement.

Currently you can switch between the default base unit of tons and the base unit of liters for the following assets:

The diesel asset, ULSD 10 PPM FOB ARA (ULSD10)

The gasoline asset, Premium Unleaded Barges FOB Rotterdam (GASOLINE)

Defines the actual delivery of the underlying commodity.

This field defines the underlying for the chosen base metal commodity, which is the 3MT forward (i.e., the forward price in three months time).

This field defines the futures price for electricity delivering continuously over the whole of the next business day.

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

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.

When pricing the following instruments—vanilla, vanilla strategy (except for the vanilla calendar spread), vanilla strip, vanilla strip call spread, vanilla strip collar and the vanilla strip two leg—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.

Defines the date on which you must decide whether to enter into the compound's underlying instrument. It must be set to a date prior to the start of the underlying instrument.

Defines the barrier that the underlying must be above or below at any moment the barrier is monitored in order to knock the option in or out.

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

Defines for the calendar spread the current spread between the two futures contracts.

This field is only displayed for a calendar spread.

Defines the currency in which the payout is to be made.

Defines the duration of the gas formula swap or the gas formula swap strip.

According to market convention, each gas term must be a complete month. So for the gas formula swap you must enter a single contract or month. For the gas formula swap strip click the i button to see the valid durations.

After you enter the gas term the system automatically defines the begin and end dates, which cannot be manually edited.

Defines the expiry of the basis swap.

Defines the duration of the forward or forward strip.

Defines (for a swap strip) the first fixing date.

Lets you define the expiry frequency of each coupon in a swap strip or underlying instrument in a strip.

For strip options, this information (together with the expiry date) lets SDX Commodities & Energy work out how many options to price. To view the list of the options, click the Expiry Dates & Rates button.

By default the setting is set according to market conventions.

The choices include the following:

Daily

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

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

Bi Weekly
This setting lets you control on which day of the week the expiries will fall, on a bi weekly basis. The system will set all subsequent bi weekly expiries to the same day of the week as the begin date.

End of month

Beginning of month

Every 15th of month

Exchange dates

Quarterly
This setting lets you set the expiries to the last business day of each quarter.

Defines the redemption target after which the Target Redemption (TARN) terminates.

Defines the expiry of the last option in the strip.

Defines the date of the last fixing.

Defines the underlying price for a vanilla strip or a vanilla strip strategy.

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

The underlying price is the average of all the underlying forward rates of the individual options that make up each vanilla strip or vanilla strip strategy.

You can see the individual forward rate for each underlying vanilla option by clicking the Expiry Dates & Rates button.

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 barrier that the underlying must be above (or below) on the option’s expiry date.

Defines the trigger that must be touched during the option’s lifetime in order to activate the payout.

Lets you define the underlying forward contact for an option on electricity prices.

You enter the contract using a duration shortcut code; the underlying future, the expiry date and the actual delivery period are then set by the system according to the defined shortcut in conjunction with market convention.

Defines the date on which the instrument ceases to exist.

You can enter the date as follows:

Entering a month only.
You can type the name of the month or use the standard exchange symbols for that month: F=January, G=February, H=March, J=April, K=May, M=June, N=July, Q=August, U=September, V=October, X=November, Z=December, Y=cash.

Entering a combination of day, month and year.The exact combination entered depends on whether you have chosen an American (month date year) or European (date month year) date format in the Customize menu.Valid European formats: dd/mm/yy; ddmmm; dd-mmm; dd-mm; ddmmmyy; dd-mmm-yy.Valid American formats: mm/dd/yy; mmddd; mmm-dd; mm-dd; mmmddyy; mmm-dd-yy.1

Entering a shortcut for a period and a number, e.g., 4w for 4 weeks.4d is four days, 4w is four weeks, 4m is four months, 4y is four years. If you enter a number without a modifying letter, by default it is assumed to be a number of days.2

Entering a duration shortcut
For a list of the available duration conventions click the i button.

When you enter a month or a contract shortcut, SDX Commodities & Energy automatically supplies the expiry date according to the market convention for the current commodity and deal type.

For the:

Electricity/Coal/NBP UK Natural Gas commodities this field is set automatically by the system once you enter a shortcut code in the Underlying Forward Contract field.

For the crack and the OTC spread instruments, this field is set automatically by the system once you enter a value in the Underlying Contract field for the first commodity. It can then be edited manually.

Date validation

Each date is checked against the internal calendar for validity, i.e., that it does not fall on a holiday or weekend. If you enter an invalid trade date, you are given the choice to use that date anyway or to use the next valid trade date.

For a crack or OTC spread, whenever you edit any of the commodities' underlying contracts the system always checks that the expiry date is set according to the earliest underlying contract defined.

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.

Displays the underlying future (i.e., the futures contract that is used as the underlying asset for the option) for vanilla exchange-traded options.

When you insert the option’s expiry date, SDX Commodities & Energy works out the relevant futures contract according to market convention. It affects the settlement date of the option, as well as the forward and depo rates used to calculate the price of the option.

Defines the mid-rate volatility for an ATM option. By default, whether the ATM volatility displayed for the chosen instrument is ATMF or delta neutral is determined by market convention.

The ATM volatility is one of the three amountsThese are the ATM volatility, the 25 delta collar and the 25 delta strangle.4 needed by SDX Commodities & Energy to calculate real-time market volatility.

If you change the amount for one of these values (ATMF or ATM delta neutral), the other value is automatically recalculated accordingly. If you change the amount, the field appears highlighted in blue. This indicates that it is a manually input amount, and not taken from the system rates feed.

Displays x% of the ATMF volatility.

This description will be available shortly.

For each asset you must define if the weight is -1 or + 1.

-1 means that you selling the asset; +1 means that you are receiving the asset.

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 a strip this field defines the total quantity of the commodity to be traded over the course of the instrument.

When you enter the swap term/gas term as relevant, the system automatically displays in this field the fixed rate that will give a zero cost instrument (i.e., for a swap 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; for a gas formula forward it is defined to be the same as the calculated gas formula rate, which SDX Commodities & Energy calculates using the defined gas formula).

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

Why would you want to be able to change the rate? There are a number of reasons, but there are two main ones. One is if you agree on a fixed rate on a certain day, but only actually enter the instrument on a later day when the rate itself has already changed. This feature gives you the flexibility to enter the agreed upon rate. The other reason is that it lets you see the present value of an instrument that you entered into in the past with a specified rate.

For Asian strategies, you can shift the underlying swap for each leg.