KYOSKYOS

Experts in energy modeling, consulting and training!

KYOS offers specialized advise on trading and risk management in energy markets. Our expert team has years of experience in quantitative modelling and advisory services in commodity markets. Our sophisticated solutions are developed to support decision making, investment proposals and risk calculations. KYOS has a clear focus on the following areas: Products, Consulting and Training.

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    Highlights

    Kyos Consulting - News & Highlights

    KyStore - Gas Storage Optimization

    KyStore software calculates the value and delta position of gas storages and 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.