FINCAD Solutions

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 for Excel gives you the power to do all your analysis on a spreadsheet with the option of using our professionally designed and developed workbook solutions.

We offer a 7-day free evaluation of our software products and services. Start your free trial.

Commodity Coverage:

EXOTIC AND VANILLA	OPTION STYLE
Asian Average strike Double average Forward start Chooser Compound Lookback Power & quotient Quanto Spread Barriers: Single & double Quanto Binary: Single barrier Digital Binary spread Multi-asset: Baskets Cliquets Napoleon Mountain range Altiplano Himalaya	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 & METHODS	UTILITIES
Local Volatility Stochastic Volatility SABR Heston Black-Scholes Binomial Monte Carlo	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 (58KB PDF)

Commodity Derivatives Coverage

Commodity Coverage:

EXOTIC AND VANILLA

OPTION STYLE

VOLATILITY DERIVATIVES

OTHER COMMODITY DERIVATIVES

MODELS & METHODS

UTILITIES