Reply To: Modelling CME CQA Quarterly Coal Options

Phil Walsh

Using the ENGY-EXCH-AVG-FUT for multiple profile periods and with averaged resets per profile period was not originally supported using native instrument settings. I recall this being done in older versions with a custom script generating the required reset structure. I thought this might be supported now, but also had a quick try in v12 and couldn’t get it working. However, I am aware of instances of clients using/cloning the PWR-EXCH-FUT instrument for other commodities, e.g. as per attached. This might be the most expedient solution.

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