Published November 9, 2022
| Version v1
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Commodity Futures Swaption Model
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Description
A commodity futures swaption (CFSn) is a linear portfolio of options on FCCF. Hence it suffices to consider one option on an FCCF.
Notes
https://finpricing.com/lib/EqCallable.html
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CommodityFutureSwaption.pdf
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