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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 (2021). 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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MATLAB Release Compatibility
Created with R2016a
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