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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Swing options are typical components of gas contracts, which offer the opportunity to vary the contracted volume under a number of restrictions. They are also known as Take-or-Pay (ToP), interruptible and variable load contracts. With swing contract valuation software, you can calculate:
KySwing calculates the value of swing contracts:
The model supports day-to-day trading decisions. It advises on optimal exercise strategies, analyses the risk profile and adds value through asset based forward trading.
The swing valuation software is based on advanced simulation techniques. Important characteristics are a mean-reverting multi-factor model with long-term, short-term and seasonal dynamics. Optimal trading 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. By applying cointegration, realistic spreads between oil and gas prices are generated.
► click here to read more about least squares monte carlo
► click here to read more about cointegration techniques
KySwing incorporates typical swing elements, like periodic volume constraints (e.g. annual contract quantity, daily contract quantity), exercise based on fixed or indexed price (with specific time lags and multiple currencies) and penalties.