IT – Genium INET 4.0.0255 Project Update for Commodities affecting Seafood and Fuel-Oil contracts (71/15)


Nasdaq Commodities advises about the below changes affecting Seafood and Fuel-Oil contracts.

As the part of Genium September 2015 release, the calculation of days to start and stop of delivery in the estimation of volatility and correlation was re-evaluated and streamlined to assure the consistent handling of contracts with different lifecycles. The adjustment concerns contracts where negative days to start and stop of delivery period occur during the lifecycle of the contract. This may have a minor effect on the estimation of correlation values based on the data available in the SPAN® file. A general rule to be followed is to calculate a number of days to start and stop of delivery, incrementing number of days to stop with 1. A combination of days to start and stop of delivery for different time spread periods will define the correlation value to be used.


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