With the DCS-based derivative category Commodity Forward Index
the system now supports DCS-based commodity forward prices.
For OTC-traded commodities, forward and settlement prices are provided on a daily basis by certain market providers, and for specified timing intervals (like daily, weekly, monthly, or quarterly). The previously provided commodity curve with category Based on DCS
now also supports the derivative category Commodity Forward Index
(in addition to the derivative categories Commodity Future
and Listed Option
).
To create the commodity curve, the system determines which forward prices are available on the curve date. If periods overlap, the system identifies disjoint periods and calculates the prices by using one of the default algorithms:
Weighted Average
Simple Arithmetic
Price of Origin Period
The algorithm setting for the price calculation for overlapping periods you can find in the curve master data (transaction TANCCMASTER
).
Technical Name of Product Feature | COMMRM_DCS_CFI |
---|---|
Product feature is | New |
Country Dependency | Valid for all countries |
Software Component Version | EA-FINSERV 617 |
Application Component | FIN-FSCM-TRM (Treasury and Risk Management) FIN-FSCM-TRM-BF (Basic Functions) FIN-FSCM-TRM-TM (Transaction Manager) FIN-FSCM-TRM-CRM (Commodity Risk Management) |
Availability | SAP Enhancement Package 7 (SP04) for SAP ERP 6.0 |
Required Business Function(s) | FIN_TRM_COMM_RM_4 |
You make the period determination settings for commodity forward indexes under
.The default settings of the price determination for overlapping periods you can find under
.To define and implement individual price determination algorithms for overlapping periods, you can use a BAdI, located under
.