Supported instruments and functions include:
- Vanilla options: Standard calls and puts without payout caps
- Swaps: Fixed-for-floating swap
- Collars: Collars with payout caps for both underlying options
- Barriers: Barrier options with payout cap
- Digitals: Digital options with payout cap
@ENERGY/Weather includes templates for specialized trades and assets such as power peak season collars, peak season barrier options and standard vanilla option contracts. FEA regularly expands instrument coverage and publishes new spreadsheet templates. The function also provides a calibration utility that can calibrate temperature forward curves, drift rates and temperature volatility curves from historical data.
View the @ENERGY/Weather product profile .
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Please also refer to our other @ENERGY modules:
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