Reply To: COMM-PHYS Index with Min-Max

#7946
Bistra Solakova
Participant

Hi Tom,
You mention a few times that the prices should be set in Commodity pricing and not in the formula. However, I never tried to set it in the formula. I alway used the commodity pricing. You would notice that setting it in the main screen is the same as setting it in the Prices. However, if you set it from the prices, it expects a sub-break per period or per volume. In your example, you have a collar of 23-24 while the forward price is 21.979 which is fairly close to 23. In this area, we also get a correct valuation. However, once you go deep in the money, i.e. significantly far, the NPV goes negative which is incorrect.

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