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Cutting-edge Pricing Models.
The supported set of instruments (see Coverage) can
be extended by combining and chaining functions to value
complex, structured transactions. @ENERGY/Advanced also
includes templates for specialized trades and assets such
as power generation units and natural gas pipeline capacity.
FEA regularly expands instrument coverage and publishes
new spreadsheet templates.
Cutting-edge Pricing Models.
You can value options using several price process models.
- The Black-style model values options the traditional way, using lognormal
price diffusion.
- The mean-reversion model also uses lognormal price diffusion, but accounts
for the tendency of commodity prices to move back to a long-run average level.
- The regime-switching jump-diffusion model accounts for sudden price movements
that are typical in power markets.
Several path simulators, included with @ENERGY/Advanced, allow users to visualize the price behavior of the underlying assets and, by specifying a payoff function, value complex derivatives for which there is no closed-form solution.
Flexible Inputs
With @ENERGY/Advanced you can:
- Express time periods with dates or tenors
- Specify a long, short or closed position
- Specify entire price and volatility curves or spot-only observations
- Specify forward prices directly instead of convenience yields
- Switch pricing models and their parameters on the fly
- Specify a value date different than your system time
- Easily switch between options on physical and options on futures
- Easily build and price customized strips on a variety of options
- Use optional and default arguments to enter the minimal amount of information
necessary to obtain results
Comprehensive Results.
Several price and risk measures can be calculated with a single function call.
The scalar risk measures represent discrete changes in value
rather than rates of change. The functions also return delta,
gamma, and vega risk curves, which yield the true exposures
to the entire price and volatility term structure (unlike
traditional risk measures that represent spot exposures
only), permitting precise hedging. @ENERGY/Advanced also
calculates implied volatilities for all multi-asset options.
View the @ENERGY/Advanced product profile .
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