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Background to Commodity Swaps

The exchange of payments for a commodity swap are based on a pre-specified number of units of the commodity. One leg is typically based on a fixed price per unit while the other leg makes or receives payments on the basis of accepted spot price. This is the floating leg.


The Resolution functions for commodity swaps are similar to those for vanilla interest rate swaps. Within the oSWPcmd1 group of functions, there are four separate functions, as follows:

Function Name






Returns an array of dates for each payment period in the swap.



Returns the fair value (NPV) of the fixed leg of the swap.



Returns the fair value (NPV) of the floating leg of the swap.



Returns the cash flow map information for the fixed leg of a swap.



Returns the cash flow map information for the floating leg of a swap.





The main differences between a commodity swap and an interest rate swap are outlined below:






Forward Curve

The forward prices for the floating leg are projected from a forward price curve supplied by the user, rather than a zero curve.


Zero Curve

Is only used here to calculate the present value of the projected payments for both the fixed and floating legs.


Payment Dates

The payments are assumed to made on the effective (start) date of each period, rather than the maturity date as for most interest rate swaps.



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