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--- name: commodity-pricing description: Analyze commodity pricing and trading systems including pricing models, market data feeds, position management, risk metrics, regulatory reporting, and settlement processing. version: "1.0.0" category: analysis platforms: - CLAUDE_CODE --- You are in AUTONOMOUS MODE. Do NOT ask questions. Evaluate every component of the commodity pricing and trading system systematically. TARGET: $ARGUMENTS If no arguments provided, analyze the entire commodity pricing codebase in the current working directory. ============================================================ PHASE 0: SYSTEM DISCOVERY ============================================================ Auto-detect the commodity trading system architecture: TECH STACK: - `requirements.txt` / `pyproject.toml` -> Python (QuantLib, NumPy, SciPy, pandas, arch) - `pom.xml` / `build.gradle` -> Java/Scala (Spark, Flink, enterprise ETRM systems) - `package.json` -> Node.js (API layer, dashboard, reporting frontend) - `go.mod` / `Cargo.toml` -> Go/Rust (low-latency pricing engines, market data feeds) - `docker-compose.yml` / `k8s/` -> Container orchestration - `.proto` files -> gRPC for inter-service communication TRADING COMPONENTS: - Identify pricing models: Black-Scholes, Monte Carlo, binomial trees, finite difference - Identify market data: real-time feeds (ICE, CME, NYMEX), historical databases, curve construction - Identify position management: trade capture, portfolio aggregation, P&L calculation - Identify risk systems: VaR engines, stress testing, Greeks calculation, limit monitoring - Identify settlement: physical delivery tracking, financial settlement, netting, invoicing - Identify regulatory: EMIR/Dodd-Frank reporting, REMIT surveillance, position limits - Identify deal capture: trade entry, confirmation, lifecycle events (amendments, novations) Produce a system architecture map before proceeding. ============================================================ PHASE 1: PRICING MODEL EVALUATION ============================================================ Evaluate the derivatives pricing and valuation layer: FORWARD CURVE CONSTRUCTION: - Check for forward curve bootstrapping methodology (piecewise, spline, monotone convex) - Verify curve input sources: exchange settlements, broker quotes, bilateral trades - Check for seasonal shaping in power and gas curves (monthly, daily, hourly granularity) - Verify basis differential modeling between delivery points - Check for curve storage and versioning (end-of-day, intraday, real-time) - Verify curve staleness detection and fallback logic for missing market data OPTION PRICING: - Identify option models: Black-76, Bachelier, local volatility, stochastic volatility - Check for implied volatility surface construction and interpolation - Verify smile/skew handling in energy options (mean-reverting models) - Check for Asian option pricing (arithmetic average, geometric approximation) - Verify spread option pricing: Kirk approximation, Margrabe, or Monte Carlo - Check for swing/storage option valuation: least-squares Monte Carlo, dynamic programming - Verify calendar spread and time spread option handling MONTE CARLO SIMULATION: - Check for variance reduction techniques: antithetic variates, control variates, stratification - Verify random number generation quality (Mersenne Twister, Sobol sequences) - Check for convergence monitoring and adaptive sample sizing - Verify correlation structure in multi-factor simulations (Cholesky decomposition) - Check for simulation performance: GPU acceleration, parallel processing - Verify path generation respects mean reversion and jump-diffusion if applicable PHYSICAL ASSET VALUATION: - Check for real option valuation of physical assets (tolling agreements, storage, transport) - Verify intrinsic vs extrinsic value decomposition - Check for operational constraint modeling (ramp rates, minimum run times, efficiency curves) - Verify seasonal storage optimization (injection/withdrawal scheduling) - Check for transportation and pipeline capacity valuation For each finding: file path, model component, severity, description, recommendation. ============================================================ PHASE 2: MARKET DATA MANAGEMENT ============================================================ Evaluate the market data infrastructure: REAL-TIME FEEDS: - Identify exchange feed handlers: CME MDP, ICE iMpact, NYMEX, EEX, NBP - Check for feed redundancy and failover between primary and backup feeds - Verify message processing latency monitoring - Check for sequence number gap detection and recovery - Verify time synchronization accuracy for market data timestamps - Check for throttling and backpressure handling during high-volume periods HISTORICAL DATA: - Check for tick data storage and retrieval performance - Verify end-of-day settlement price capture and validation - Check for corporate action and contract rollover handling - Verify data quality validation: price bounds, stale data detection, outlier filtering - Check for gap filling methodology for illiquid products - Verify historical data retention meets regulatory requirements (5-7 years minimum) CURVE MANAGEMENT: - Check for official end-of-day curve publication workflow - Verify curve approval and sign-off process - Check for curve override capability with audit trail - Verify multi-curve support: bid, ask, mid, settlement, internal marks - Check for curve comparison and variance reporting - Verify curve data distribution to downstream consumers (risk, P&L, settlement) REFERENCE DATA: - Check for contract specification management (lot sizes, delivery points, expiry dates) - Verify product master data consistency across systems - Check for calendar management (exchange holidays, delivery calendars) - Verify counterparty and broker reference data management ============================================================ PHASE 3: POSITION MANAGEMENT AND P&L ============================================================ Evaluate trade capture and position management: TRADE CAPTURE: - Check for trade entry validation (limit checks, product eligibility, counterparty credit) - Verify trade lifecycle event handling: new, amend, cancel, novation, exercise, assignment - Check for trade confirmation matching and exception handling - Verify deal ticket completeness (all required fields populated) - Check for bulk trade import capability and validation - Verify trade audit trail (every change tracked with user, timestamp, before/after) POSITION AGGREGATION: - Check for real-time position aggregation by: book, trader, desk, commodity, delivery period - Verify netting logic: delivery point, counterparty, product type - Check for physical vs financial position separation - Verify time-bucketed position reporting (daily, monthly, quarterly, annual) - Check for position limit monitoring against regulatory and internal limits - Verify position reconciliation between front-office and back-office systems P&L CALCULATION: - Check for mark-to-market P&L methodology (daily revaluation against curves) - Verify realized vs unrealized P&L separation - Check for P&L attribution: price change, volume change, new deals, curve roll - Verify P&L explain capability (breakdown of daily P&L movement drivers) - Check for accounting P&L vs trading P&L reconciliation - Verify multi-currency P&L with FX rate handling - Check for accrual accounting treatment where required (hedge accounting, ASC 815) HEDGE ACCOUNTING: - Check for hedge designation and documentation workflow - Verify hedge effectiveness testing: prospective and retrospective - Check for fair value vs cash flow hedge classification - Verify de-designation and reclassification handling - Check for ASC 815 / IFRS 9 compliance in hedge accounting logic ============================================================ PHASE 4: RISK MANAGEMENT ============================================================ Evaluate risk measurement and monitoring: VALUE AT RISK (VaR): - Identify VaR methodology: historical simulation, parametric, Monte Carlo - Check VaR confidence levels and holding periods (95%/99%, 1-day/10-day) - Verify VaR backtesting: exceptions tracking, Kupiec test, Christoffersen test - Check for conditional VaR (CVaR / Expected Shortfall) calculation - Verify component VaR and incremental VaR for portfolio decomposition - Check for VaR limit monitoring and breach notification GREEKS CALCULATION: - Check for delta, gamma, vega, theta, rho calculation on all derivative positions - Verify Greeks are computed using appropriate bump sizes (1% price, 1% vol, 1 day) - Check for cross-gamma and correlation sensitivity - Verify Greeks aggregation across portfolios - Check for Greeks-based hedging recommendations STRESS TESTING: - Check for historical stress scenarios (energy crises, weather events, geopolitical shocks) - Verify hypothetical stress scenario construction capability - Check for reverse stress testing (what scenario causes a given loss threshold) - Verify stress test coverage of all material risk factors - Check for stress test reporting and governance workflow CREDIT RISK: - Check for counterparty credit exposure calculation (current and potential future exposure) - Verify credit limit monitoring and breach alerting - Check for collateral management: margin calls, ISDA CSA threshold tracking - Verify netting agreement application in exposure calculation - Check for credit valuation adjustment (CVA) computation LIMIT MANAGEMENT: - Check for multi-level limit framework: VaR, position, Greeks, notional, tenor - Verify limit breach detection is real-time or near-real-time - Check for pre-trade limit checking capability - Verify limit override workflow with approval and audit trail - Check for limit utilization reporting and trending ============================================================ PHASE 5: REGULATORY REPORTING AND COMPLIANCE ============================================================ Evaluate regulatory reporting capabilities: EMIR / DODD-FRANK REPORTING: - Check for trade reporting to registered trade repositories - Verify Unique Transaction Identifier (UTI) generation and sharing - Check for Legal Entity Identifier (LEI) management - Verify reporting field completeness against regulatory technical standards - Check for lifecycle event reporting (modifications, terminations, valuations) - Verify daily valuation reporting for outstanding derivatives - Check for reporting reconciliation and error correction workflow REMIT (EU ENERGY MARKET): - Check for REMIT transaction reporting (standard and non-standard contracts) - Verify fundamental data reporting (generation outages, capacity availability) - Check for inside information disclosure procedures - Verify market manipulation surveillance (wash trades, spoofing detection) - Check for ACER reporting format compliance POSITION LIMITS: - Check for exchange position limit monitoring (CFTC, ESMA) - Verify position aggregation across accounts and entities for limit purposes - Check for large trader reporting threshold monitoring - Verify exemption tracking (bona fide hedging, risk management) - Check for speculative position limit compliance SETTLEMENT AND DELIVERY: - Check for physical delivery scheduling and nomination - Verify financial settlement calculation and netting - Check for invoice generation and reconciliation - Verify settlement calendar management per exchange and jurisdiction - Check for settlement dispute handling and resolution workflow ============================================================ PHASE 6: SYSTEM OPERATIONS AND DATA INTEGRITY ============================================================ Evaluate operational controls and data governance: END-OF-DAY PROCESSING: - Check for EOD batch processing pipeline: curve publication, P&L, risk, reporting - Verify batch job dependency management and failure handling - Check for EOD reconciliation checkpoints - Verify EOD completion monitoring and SLA tracking - Check for month-end and year-end close processing DATA INTEGRITY: - Check for trade data reconciliation between systems (front/mid/back office) - Verify position reconciliation with exchange clearing statements - Check for cash reconciliation with bank statements - Verify data lineage tracking from source to report - Check for data quality monitoring and alerting AUDIT AND CONTROLS: - Check for segregation of duties: trading vs risk vs settlement vs IT - Verify four-eyes principle on trade amendments and limit changes - Check for system access controls and role-based permissions - Verify regulatory audit trail retention (7 years for CFTC, 5 years for EMIR) - Check for change management controls on pricing models and risk parameters ============================================================ OUTPUT ============================================================ ## Commodity Pricing and Trading System Analysis Report **System:** [name/description] **Stack:** [detected technologies] **Commodity Markets:** [detected: power, gas, oil, metals, agricultural] **Trading Types:** [physical, financial, derivatives] ### Summary | Category | Status | Findings | Critical | |----------|--------|----------|----------| | Pricing Models | [PASS/WARN/FAIL] | N | N | | Market Data | [PASS/WARN/FAIL] | N | N | | Position/P&L | [PASS/WARN/FAIL] | N | N | | Risk Management | [PASS/WARN/FAIL] | N | N | | Regulatory Reporting | [PASS/WARN/FAIL] | N | N | | Operations/Integrity | [PASS/WARN/FAIL] | N | N | ### Pricing Model Coverage | Product Type | Model | Validation | Greeks | Status | |-------------|-------|------------|--------|--------| | Forwards/Futures | | | | | | European options | | | | | | Asian options | | | | | | Spread options | | | | | | Swing/storage | | | | | ### Risk Coverage Matrix | Risk Metric | Implemented | Validated | Monitored | Gap | |-------------|-------------|-----------|-----------|-----| | VaR (historical) | | | | | | VaR (Monte Carlo) | | | | | | CVaR / ES | | | | | | Greeks | | | | | | Stress testing | | | | | | Credit exposure | | | | | ### Detailed Findings For each category with WARN or FAIL: #### [Category Name] | # | Severity | File | Description | Impact | Recommendation | |---|----------|------|-------------|--------|----------------| ### Remediation Priority [Ordered list by financial exposure and regulatory risk] ============================================================ NEXT STEPS ============================================================ After reviewing the analysis: - "Run `/load-forecast` to analyze demand prediction models feeding pricing decisions." - "Run `/energy-compliance` to review FERC/NERC regulatory compliance for energy trading." - "Run `/fraud-detection` to evaluate trade surveillance and market manipulation detection." - "Run `/security-review` to audit trading platform APIs and access controls." - "Run `/financial-compliance` to review broader financial regulatory requirements." ============================================================ DO NOT ============================================================ - Do NOT modify any pricing models, risk parameters, or trading limits — this is an analysis skill. - Do NOT execute trades, submit orders, or interact with exchange APIs. - Do NOT access or display actual trade data, counterparty names, or portfolio positions. - Do NOT expose pricing model parameters, VaR figures, or limit thresholds that are commercially sensitive. - Do NOT skip regulatory reporting analysis even for internal or proprietary trading systems. - Do NOT assume model accuracy without checking backtesting and validation results. - Do NOT conflate theoretical model outputs with production calibrated results — verify calibration.