Question: How to Notionalize a Commodity Future?
Neil, I think you might be multiplying the price in twice there. I would say its num_contracts * contract_size * price_of_underlying ie for Nymex Crude value of N contracts = N * 1000 * $68 Edmund
ngottlieb at marinercapital.com wrote:
Whit:
Thanks for your quick response.
I tried doing this:
# of contracts x contract price x contractsize x underlying price of the
contract size (ie. 18,000 bushels at whatever amount).
Contracts Price Quote
Units Contract size cents/per pound
BOK7 Comdty SOYBEAN OIL FUTR May07 200 32.48
lbs. cents/lb. 60,000.00 .01
I am not sure if this is correct to get notional value?
Neil
-----Original Message-----
From: Armstrong, Whit [mailto:whit.armstrong at hcmny.com]
Sent: Friday, June 15, 2007 10:56 AM
To: Gottlieb, Neil
Cc: r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?
notionalize?
If you are talking about the notional value of a conctact it's just
price * contract size, but sizes are specific to each contract. you can
get this information from the exchanges or from BBG.
-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of
ngottlieb at marinercapital.com
Sent: Friday, June 15, 2007 10:49 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?
Does anyone know how to notionalize a commodity future (i.e CBT Corn,
CBT Soybean etc.)?
And if so what is the calculation?
Thanks,
Neil Gottlieb
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