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Quantitative Finance · Glosarium

Apa itu Commodity swap?

Definition 1.2 Markets III: Commodities, Energy and Crypto · Bab 1 — Physical Commodity Markets

A commodity swap exchanges, for each period of its life, a fixed price for the average of a published floating price over the period, both applied to an agreed volume, and is settled in cash for the difference.

Contoh

Example 1.3 (A monthly crude swap)

An airline buys a swap on 100 000 barrels a month for the next quarter at a fixed 82.00 $/bbl82.00\,\$/\mathrm{bbl} against the monthly average of a crude benchmark. If the benchmark averages 85.40 $/bbl85.40\,\$/\mathrm{bbl} in the first month, the airline receives 3.40×100 000=$340 0003.40 \times 100\,000 = \$340\,000; if it averages 79.10 $/bbl79.10\,\$/\mathrm{bbl} in the second, it pays $290 000\$290\,000. Whatever it pays for its fuel in the physical market, its net cost per barrel is fixed near $82, up to the difference between the fuel it burns and the benchmark it hedged, which is the subject of the last section.

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