Gas Storage Valuation

KyStore software is developed to for the valuation of gas storage facilities and gas storage contracts. The software is used for:

• Calculating the value of a gas storage
• Determine delta positions of a gas storage
• Providing trading advise for a gas storage
• Calculating the risks associated with a gas storage facility

KyStore is used successfully by leading storage operators and energy traders.

Outputs gas storage valuation software

KyStore calculates storage value based on different trading strategies:

• Intrinsic: maximum value that may be locked in on forward and spot of today
• Rolling Intrinsic: nearby forward positions are adjusted over time to enhance intrinsic value
• Full Option Value: storage decisions are optimized based on spot market dynamic

The storage valuation model supports day-to-day trading decisions. It advises on optimal gas trading strategies, it calculates gas delta positions and provides distributions of cash-flows and inventory levels.

Least-Squares Monte Carlo for a gas storage

KyStore is based on advanced Monte Carlo simulation techniques. Important characteristics are a mean-reverting multi-factor model with long-term, short-term and seasonal dynamics.

Optimal storage trading and operating decisions are calculated by applying Least Squares Monte Carlo techniques. Volatility term structure and other simulation inputs are easily derived from historical data with the accompanying calibration tool.

► click here to read about the least squares optimization routine

Gas storage constraints

KyStore includes typical storage constraints, like time- and inventory-dependent injection and withdrawal rates and time-dependent minimum and maximum inventory levels.

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