Commodity UK Power Half Hour Hedging Examples

Version 2.0.0.0 (1,21 MB) von Ahmos Sansom
Example of Commodity UK Power Hedging such as Value Neutral and Base Peak Ratios
0.0
(0)
51 Downloads
Aktualisiert 27. Aug 2017

Lizenz anzeigen

Hedging examples assuming there exists a UK half hour Power Forward Curve and a matching volume profile.
The Products are for combinations of Base, Peak and Nights; note that the liquidity can be adjusted. Examples assume Monthly tenors.
The type of hedges available are:
Value Neutral - i.e. the residual from the hedge multiplied by the forward curve sums to zero.
Volume Hedge - so that the Load Profile = the Hedges
Base / Peak ratio - option to pick a hedge where the Base/Peak is set at a particular ratio
Run the script:
MainHedgingExamples.m

Zitieren als

Ahmos Sansom (2024). Commodity UK Power Half Hour Hedging Examples (https://www.mathworks.com/matlabcentral/fileexchange/63103-commodity-uk-power-half-hour-hedging-examples), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2016a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Thermal Analysis finden Sie in Help Center und MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Veröffentlicht Versionshinweise
2.0.0.0

boolean subsetting updating on DateFunction object that vastly improves the speed by Marco Verduci
1.0.0.0

Updated FC to have clock changes

Added some error checks and 3 extra examples with liquidity of only Quarters and Seasons and Heren liquidity.