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Commodity UK Power Half Hour Hedging Examples

version 2.0.0.0 (1.21 MB) by Ahmos Sansom
Example of Commodity UK Power Hedging such as Value Neutral and Base Peak Ratios

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Updated 27 Aug 2017

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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

Cite As

Ahmos Sansom (2019). 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. Retrieved .

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Updates

2.0.0.0

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

1.0.0.0

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

1.0.0.0

Updated FC to have clock changes

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
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