Mapping Bloomberg market data Commodity

Created by Erik Åkerlund, Modified on Wed, 7 Feb at 11:15 AM by Jenny Johansson

Delayed rates Interest and FX rates

Some rates has 1 or more days delay due to charges e.g. EURIBOR. A complete market value curve is needed in month end for market valuation of derivatives. In those cases it is possible to add a separate curve for Fixing and market valuation and on the market valuation prices with delay type date column name Today. Then these will always have the complete market value curve on month end.

Commodities

Prerequisite

The integration with Bloomberg requires a certificate. The certificate is created by Bloomberg, or by the customer with assistance from Bloomberg. The certificate should be of type p12.

The certificate is uploaded to the 'Credentials' menu in Treasury systems. Please note that the password to the certificate is also required.

Note! if the certificate is created with OpenSSL please use version v1 (not v3).

Import Cash prices

CASH prices add suppliercode and "CASH" in period

Molbyden, needs to be map with supplier Code and period.

Import Forward Prices

Prices for 3rd wednesday

Commodity prices forward should be mapped without period.

All prices for the third wednesday for x month ahead.

"CommodityCode" "CMM" "xM" e.g. LMCADP 24CMM => LMCADP 20210721, LMCADP 20210818 etc for 24 month ahead.

Prices for Last Day of Month

Commodity prices forward should be mapped without period.

LMCADP LDOM 24M => LMCADP 20210730, LMCADP 20210831, etc (last day of month which is not a saturday or sunday)