UK Power Value Neutral hedge

Version 1.0.0.0 (108 ko) par Ahmos Sansom
Example of a value neutral hedge for the UK power (electricity) markets.
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Mise à jour 21 mai 2010

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Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets.

HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral hedge.

The code assumes that there is limited liquidity and that only Base, Peak and Night products are only available to hedge the demand profile.

To run:
HedgeControl

Citation pour cette source

Ahmos Sansom (2024). UK Power Value Neutral hedge (https://www.mathworks.com/matlabcentral/fileexchange/27692-uk-power-value-neutral-hedge), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2009b
Compatible avec toutes les versions
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Version Publié le Notes de version
1.0.0.0