Commodity

SOLUTIONS

FINCAD solutions enable better investment and risk decisions, improve workflow efficiency and reduce operational risk.

Commodity Derivatives Coverage

 Comprehensive Commodity coverage in FINCAD Analytics Suite includes exotic and vanilla options such as Asian, barriers and spread options.  Uses local and stochastic volatility models (such as Heston and SABR), along with the log-normal (Black-Scholes) model. FINCAD Analytics Suite gives you the power to do all your analysis on a spreadsheet with the option of using our professionally designed and developed workbook solutions.

Commodity Coverage:

Exotic and Vanilla
  • Asian
  • Average strike
  • Double average
  • Forward start
  • Chooser
  • Compound
  • Lookback
  • Power & quotient
  • Spread
  • Barriers:
    • Single
    • Double
  • Binary:
    • Single barrier
    • Digital
    • Binary spread
  • Multi-asset:
    • Baskets
    • Cliquets
    • Napoleon
Option Styles
  • American
  • Bermudan
  • European
Volatility Derivatives
  • Variance swaps
    • Conditional
    • Corridor
    • Capped / floored
  • Volatility swaps
  • Variance options
Other Commodity Derivatives
  • Forwards and futures
  • Options on commodity futures
  • Swaps, swaptions
    • Vanilla and user-defined parameters
Models and Methods
  • Local volatility
  • Stochastic volatility
    • SABR
    • Heston
  • Black-Scholes
  • Binomial
  • Monte Carlo
Utilities
  • Implied calculations
    • Volatility, strike, rates, etc.
    • Goal seek on any parameter
  • Greeks
  • Cash flow functions
  • Ability to
    • Implement single rates or curves
    • Take in discrete dividends or yield
  • Graph the volatility surface (smile,skew)

Download a more complete list of Commodities Coverage (157 KB PDF)

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