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Product Uses
- Mark-to-market a portfolio of power generation assets and tolling contracts
- Report a wide variety of forward looking operational metrics such as expected plant production, utilization rates, fuel costs, emissions, and cycling frequency
- Optimize hourly plant dispatch under conditions of stochastic fuel and power prices
- Assess the probability and nature of extreme outcomes
- Quantify the expected future profitability of your merchant capacity
- Derive the optimal dispatch schedule for any set of user specified (or simulated) power and fuel prices
Plant Specification
@ENERGY/Power Generation takes into consideration some of the most common and important generation plant characteristics:
- Operation Schedule – start & end dates, initial & final generator states and dispatching frequency
- Operational Constraints – minimum on, off, cool down and ramp time requirements, state-dependent generation output capacities
- Costs – fuel heat-rate, variable-operational-maintenance, no load, starter fuel, emission, start-up & shutdown costs. All costs can vary by season according to a user defined seasonal schedule
- Scheduled Maintenance – capacity scheduling for planned outages
Multiple Operation Strategies
@ENERGY/Power Generation values the asset according to two different operation strategies:
- Intrinsic - trading forward contracts on value date thus locking in the existing spark spread
- Optimal - trading spot while following optimal dispatching rules to maximize expected profit
Multiple price Models
@ENERGY/Power Generation provide the choice of two models for power and fuel:
- The FEA Power Sector Model. A hybrid model that accurately models the co-movement of power and fuel spot prices. By taking proper account of weather, load and fuel fluctuations, correlations among the relevant stochastic factors across multiple pricing regions, and historical volatility & jump distribution profiles based on seasonality, @ENERGY/Load Serve delivers an unparalleled level or rigor to the valuation of power generation assets
- Lognormal mean reversion model. The market standard in stochastic fuel and power price modeling
LSM Valuation Methodology
@ENERGY/Power Generation incorporates recent advancements in derivatives pricing techniques by applying the Least-Squared-Monte-Carlo (LSM) approach to optimal plant valuation. The LSM method uses dynamic programming to accommodate plant constraints while taking full account of the complex nature of power prices. @ENERGY/Power Generation is unique in its ability to overcome many of the well-known difficulties in generation asset valuation while still maintaining speed advantages.
Detailed Results
The list of @ENERGY/Power Generation output includes:
- Intrinsic & Optimal values
- Optimal value histograms
- Cash flow (from optimal operation) & price trajectories
- Economic dispatching rules
- Utility Analysis Histograms (fuel consumption, fuel cost, emissions production, VOM cost, capacity factor, service factor, and other operationally relevant metrics)
View the @ENERGY/Power Generation product profile .
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