Could you also send the Commodity Pricing Screenshots for Phys and Financial leg?
I have tested creating a similar deal – a Phys sell index price deal where the current index price is lower than the floor price.
In this case I haven’t set the Floor and Cap using the fields in the Commodity Pricing Formula screen (View > Formulas) but those in the Commodity Pricing screen (View > Prices).
Doing this, I get two Options (seen in Commodity Model Details) screen as you do, but with the correct signs:
– A Put Option with a +value that is > the intrinsic value (floor price – index price) that increases with volatility. This represents the positive (to me) value of the floor on the sell price.
– A Call Option with -ve value which is smaller than the Put, also increases with volatility.
(Actually for some reason I am getting the call option row duplicated for some reason, so 2 x the -ve Call value, but I presume this can be fixed.)
The net PV shown on the deal pricer is the sum of the Call -ve and Put +ve values. This is > the intrinsic value as long as input vol > zero. (Or it would be without the duplicate Call)
The floor price is still reflected in the profile payment value & cashflow.
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