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Procedure documentationCreating Commodity Curves Locate this document in the navigation structure

 

Commodity curves are used to calculate the net present values of commodity-related financial instruments.

They are uniquely identifiable by the commodity ID and the commodity curve type. A commodity curve type is assigned to a commodity curve. There are the following commodity curve types:

  • Futures-based

  • Forward-based

The commodity curve type specifies whether the market data on which the commodity curve is based represent quotations of commodity futures or commodity forward prices.

You specify individually for each curve which interpolation and extrapolation logic is used.

Prerequisites

  • In the Customizing activity under   Treasury and Risk Management   Basic Functions   Market Data Management   Master Data   Commodities   Settings for Commodity Curve   Define Commodity Curve Type  , you create the names for the commodity curve types that you use.

  • In the area menu for TRM under   Financial Risk Management for Commodities   Master Data   Commodity  , you create the master data for the required commodities.

    See also: Commodity Master Data.

    For the creation of commodity curves, you need to fill the tab pages Futures Contract Basic Data, Spot Quotation Data, and OTC Forward Prices Data.

  • If you want to create futures-based commodity curves, the class data of the relevant futures needs to be maintained. See also: Commodity Futures

Procedure

To maintain the commodity curve master data, go to the SAP area menu and choose   Financial Risk Management for Commodities   Master Data   Maintain Commodity Curves  .

  1. Choose Create.

  2. In the following screen, select the desired commodity ID, the commodity curve type, and the commodity curve type.

  3. Enter the Basic Curve Data:

    • Commodity Curve Rate Type

    • Currency

    • Unit of Measure

  4. Make the interpolation and extrapolation settings:

    • Interpolation Logic

    • Extrapolation Logic

    • Reading Procedures

    • Max Days Readback

Additionally, you can define the following data for forward-based commodity curves:

  • Enter the Spot Data:

    • Include Spot to include the current spot price as the starting value for the commodity curve.

    • Quotation Type

      When including a spot, also enter the quotation type of the price.

  • Under Forward Basic Data, enter the following:

    • Market Data Provider

    • Quotation Type

  • On the Curves tab page, enter the period for which you want to check or enter market data for the curve.

    Note Note

    In the master data of the commodity, you have entered for each market data provider the structure of the data provided for the commodity curve. You do this on the OTC Forward Prices Data tab page. See also: Commodity Master Data

    End of the note.

  • Double-click the Quotation Date for which you want to check or enter the forward prices.

    If no data has been entered for this date, the system asks you whether you want to enter the prices.

    This starts the entry dialog for the market data of the forward-based commodity curve. See also: Entering Forward Prices for Commodity Curves

Additionally, you can define the following data for futures-based commodity curves:

  • Enter the Spot Data:

    • Include Spot to include the current spot price as the starting value for the commodity curve.

    • Quotation Type

      When including a spot, also enter the quotation type of the price.

  • Enter the Futures Basic Data:

    • Issuer

    • Exchange

    • Price Type

    • Expiry Date Logic

  • Open the Futures Grid Data tab page.

  • Enter the required commodity futures.

  • On the Curves tab page, enter the period for which you want to check market data for the curve.

  • Double-click the quotation date for which you want to see the commodity curve.