Commodity UK Power Half Hour Hedging Examples
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
Citation pour cette source
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. Récupéré le .
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Version | Publié le | Notes de version | |
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2.0.0.0 | boolean subsetting updating on DateFunction object that vastly improves the speed by Marco Verduci |
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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. |