Black Scholes ( Black 76 ) Formula in Endur with Delayed Payment (from Exercise Date)
This document shows the formula used to derive Option Value using Black Scholes ( Black 76 ) formula applied to commodity options
Our Articles
Endur – Structured Gas Contract Modelling
Since the addition of formula functions, for example to assess different volume types (e.g. nominated
Endur FX Exposures for USD company trading EUR denominated Oil products
Lets say we are a USD reporting company trading EUR denominated Oil products. Oil is quoted in USD so there is a FX risk.
Flash PnL Functionality in Endur using Blobs
A Flash PnL is a PnL that is calculated and available for the FO before the official End Of Day PnL (which is usually on T+1) is generated. The Flash PnL should
Inventory Adjustments in Endur Gas Storage contract modelling
In recent versions of Endur, there are two additional physical leg types that provide flexibility
Gas Trans deals in Endur : Delta on wrong deal side
Occasionally COMM-TRANS deals can show index delta values attributed the wrong deal side in the Tran Gpt Delta by Leg result.
