Commodity Derivatives Pricing & Valuation
Accurate Mark-to-Market for Your Entire Commodity Hedge Portfolio
Our proprietary derivatives pricing engine, built in Rust, delivers fast and accurate valuations for the full range of instruments used in commodity hedging programs — from plain vanilla swaps and forwards to structured options across energy, metals, and agriculture.
Instruments We Price
Vanilla Instruments
- •Commodity Swaps (fixed-for-floating)
- •Commodity Forwards and Futures
- •European and American Commodity Options
- •Costless Collars and Participating Swaps
- •Basis Swaps
Structured & Exotic Instruments
- •Asian (Average Price) Options
- •Barrier Options (knock-in, knock-out)
- •Digital and Binary Options
- •Spread Options (crack spreads, crush spreads)
- •Path-Dependent Structures
Commodity Markets Covered
Energy
- Crude Oil (WTI, Brent)
- Diesel / Heating Oil
- Natural Gas
- Jet Fuel
- Gasoline / RBOB
Metals
- Copper
- Aluminum
- Steel
- Zinc
- Nickel
Agriculture
- Corn
- Wheat
- Soybeans / Soybean Oil
- Sugar (No. 11)
- Coffee (Arabica, Robusta)
Why Our Pricing Engine Matters
Speed
Built in Rust for performance that scales — price entire portfolios in milliseconds, not minutes.
Accuracy
Advanced numerical methods — Monte Carlo simulation, finite difference, and closed-form solutions — matched to each instrument type.
Independence
Valuations produced independently from your bank or broker counterparties, giving you a reliable second opinion for negotiation and accounting.
Get Accurate Valuations for Your Hedge Portfolio
Whether you need daily mark-to-market, hedge accounting support, or an independent valuation of your commodity derivatives, we can help.