DCS-Based Commodity Forward Index

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 Details

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

Customizing

You make the period determination settings for commodity forward indexes under Treasury and Risk Management Basic Functions Market Data Management Market Data Based on Derivative Contract Specifications Derivative Contract Specifications Period Determination Commodity Forward Index .
The default settings of the price determination for overlapping periods you can find under Treasury and Risk Management Basic Functions Market Data Management Master Data Commodities Settings for Commodity Curves Price Determination for Overlapping Periods Specify Price Determination for Overlapping Periods .
To define and implement individual price determination algorithms for overlapping periods, you can use a BAdI, located under Treasury and Risk Management Basic Functions Market Data Management Master Data Settings for Commodity CurvesCommodities Price Determination for Overlapping Periods BAdI: Price Determination for Overlapping Periods .