Open-Source Libraries for Commodity Pricing and Risk Management

Summary

The document asks whether open-source software can support commodity pricing and risk management, noting that commodity contracts may involve a wide range of specialized payoffs. The answer says the author is not aware of a dedicated open-source library for the full commodity trading domain. It distinguishes an enterprise trading and risk management system from a reusable library and cautions that such systems may not cover every exotic product.

For some use cases, the answer suggests adapting general-purpose financial libraries by reusing equity pricing functions and adding commodity-specific adjustments. This is a practical possibility, not a demonstrated implementation or systematic comparison. Suitability depends on the products being priced and the effort required to handle commodity market features; the response offers no claim that the proposed workarounds cover complex payoffs or complete risk management needs.

Key ideas

• The answer reports no known open-source library dedicated to broad commodity trading and exotic payoff needs.
• Enterprise trading and risk management systems are distinct from standalone pricing libraries.
• General financial libraries may be adapted for some commodity pricing tasks with additional work.
• The suitability of those adaptations depends on the use case and commodity-specific requirements.

Tags

# Is there any open source library for commodities trading (pricing/risk managment)?


# Is there any open source library for commodities trading (pricing/risk managment)?












I think the question is no, as commodities trading requires far more exotic payoffs and hence higher variety of code.

I know that there is a private company known Allegro, one of the main suppliers of such libraries for commodities industry.I also have heard that e.g. EDF Trading uses BlueBird system for exotic calculations.

I would like to know if there is any open source libraries for commodities, similar to OpenGamma/Strata and QuantLib available in finance?

## Answer by Juan Ignacio Gil (score 2, accepted)

https://quant.stackexchange.com/a/43123

Not that I know, and I'm in that business. Allegro is a ETRM provider, equivalent to Murex in the banking area, but, as far as I know, they don't provide any library outside their main system (which is not able to deal with any kind of exotic), and definitely nothing open source. Let me know if you find anything, because I would be glad to use it.

Depending on your purpose, you can probably use QuantLib (a colleague of mine uses it) or Strata for commodity pricing, using the equities functions of the library with some workarounds to account for the particularities of commodities, but I don't know if it would be worthy (probably not).

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.