Reply To: Modelling CME CQA Quarterly Coal Options

Tom Graham

I agree with all that, but I need a quick fix that I can put in today, which precludes building new curves or cascading config.
When I asked “how to model these” – this is in the context of fixing a trade that has been booked incorrectly now, not a design exercise.
Hence the quick and dirty fix suggestion to use an averaging future instrument with monthly resets.

This is something you can do quite easily for Power, since the Standard PWR-EXCH-FUT instrument type can be set up with multiple resets – pricing a Q/S/Y Future contract of a single common daily/monthly projection index.

I thought I could do the same for Coal using an ENGY-EXCH-AVG-FUT if only I could get the reset structure to work.

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