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Commodity UK Power Half Hour Hedging Examples

version (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
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Cite As

Ahmos Sansom (2020). Commodity UK Power Half Hour Hedging Examples (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (0)


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

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

Updated FC to have clock changes

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