Fairmat Example

This example models a contract based on the weighting of Fuel Oil and Natural Gas price averages. In particular, the price of this contract is the weighted sum of the average of Fuel Oil monthly price, reset into previous 9 months and of the average price of daily spot price of Natural Gas reset into previous 3 months plus a Spread. The delivery period is settled every 3 months and the contract maturity is 3 years.

Attachments

Commodity Contract Example