@ENERGY/Advanced values European and Asian multi-asset and compound options, commonly used to represent power generation capacity, gas pipeline and power transmission capacity and power generation unit extension rights. Advanced values common exchange-traded and over-the-counter derivatives.
Coverage
@ENERGY/Advanced values European multiple-asset and compound options,
commonly used in capacity, transmission, and fuel arbitrage:
- Physicals: Physical and strips of physicals, providing up to three proxy
assets.
- Differential swaps and differential swap options: Option on a differential
swap between two pricing regions (i.e., option on swap spread between PJM-East
and PJM-West).
- Spread options: European calendar spread options, European single period
and strips of asset spread options, Asian strike and Asian price spread options.
- Spread options: European spread options, treating the spread as a normally
distributed variable.
- Crack options: European and Asian crack options to value and hedge a refinery.
- Compound options: European compound options on single period options and
spread options, and compound options on a strip of options and a strip of
spread options (i.e., power generation capacity extension rights).
- Best-of options: Single period and strips of best-of or basket options,
with multiple payoff at expiry algorithms.
@ENERGY/Advanced includes templates for specialized trades and assets such as power generation and tolling contracts, pipeline capacity and power transmission. FEA regularly expands instrument coverage and publishes new spreadsheet templates. In addition, @ENERGY/Advanced includes several utility functions such as several path simulators that support the visualization of the asset price behavior as governed by the price process model.
View the @ENERGY/Advanced product profile .
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Please also refer to our other @ENERGY modules:
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