Published November 9, 2022
| Version v1
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Commodity Futures Swap Model
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Description
A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity futures (contract) (FCCF). An FCCF belongs to the category of arithmetic average forward contracts. Due to the linearity with respect to underlying asset prices, an arithmetic average forward contract is just a linear combination of ordinary forward contracts.
Notes
https://finpricing.com/lib/FxAccumulator.html
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CommodityFutureSwap.pdf
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