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:
Ahmos Sansom (2020). 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 .
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