Thomson Reuters European Crude and Products Swap ...
Thomson Reuters European Crude and Products Swap ...
Thomson Reuters European Crude and Products Swap ...
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3. Calculate the outright swap. Here again there can be two possibilities.<br />
a) The crack spread is available.<br />
Apply the crack spread on the RIC to the calendar strip on the RIC<br />
. Both the calendar strip <strong>and</strong> crack spread are expressed in USD/BBL. The<br />
conversion factor has to be applied to obtain the outright swap in USD/TONNE.<br />
b) The crack spread is not available.<br />
In this case the interpolation <strong>and</strong> extrapolation techniques are employed.<br />
Interpolation – If the data has to be calculated for maturity period(s) in between two<br />
periods having data then interpolation is used.<br />
Extrapolation – If the data has to be calculated for maturity period(s) before periods<br />
having data (rare case) or further than periods having data then extrapolation is used.
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