Package com.quantfinlib.commodities
package com.quantfinlib.commodities
Commodities: the asset class where the CURVE is the trade.
CommodityCurve holds a spot +
futures pillar curve and produces the numbers that actually drive
commodity P&L — annualized roll yield (positive in backwardation,
the long's silent tailwind; negative in contango, the silent tax),
the market-implied storage-minus-convenience carry from the
cash-and-carry relation F = S e^{(r+u-y)t}, and strict
whole-curve shape tests. Pairs with
pricing.ExchangeOption.kirkSpreadCall for spread options
(crack/calendar) and execution.FuturesRollAlgo for actually
rolling the position. Research lane.-
ClassesClassDescriptionCOMMODITY futures curve — where the P&L of a commodity position mostly does NOT come from being right about the spot price.