Swing contract

  • Increase revenue & manage risks of gas swing contracts
  • Capture all indexations and volume constraints
  • Make quick calculations, fully automated
  • Enjoy easy interfaces with market and other data
  • Calculate accurate values and hedges with Monte Carlo simulations
KySwing helps to generate most income from gas contracts by optimizing the contract flexibility. The risk on future income is reduced by forward hedging. The model applies advanced stochastics to find the optimal exercise.

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.

Benefits

1. Spot optimization: daily offtake?

Decission support
Each day in the contract period, the swing valuation advises how much gas should be taken from the contract. Boundary prices show above which price the maximum contract quantity should be nominated, and below which price the minimum quantity should be nominated. Together with boundary prices of other storage assets and swing contracts, a portfolio manager can rank the assets from low opportunity cost to high opportunity cost, creating an internal merit order for portfolio optimization.

2. Forward Market: Keep the risk or lock in profits?

KySwing advises what forward transactions are optimal to hedge the risks and lock in profits. The user can choose between intrinsic and delta hedging, two strategies to secure profits. It can provide hedge recommendations for the asset alone, for multiple assets together or for a portfolio of assets.

kyswing-1.png

 

3. Contract valuation: what is a fair price?

The swing model calculates the fair price of a swing contract. The model shows which part of the value is intrinsic, and can be made easily, and which part is extrinsic, requiring a more active trading strategy. Extrinsic values are derived from an intuitive and realistic Monte Carlo simulation model.

A combination of forward and spot trading strategies is applied to the simulated price scenarios, using rolling intrinsic and least-squares Monte Carlo. This type of valuation provides a fair assessment of the future value. Backtesting of the model is another feature: it shows how much money you would have made in the past, following a specific trading strategy.

Loading qoute.. Loading a qoute..

Features

All contract constraints are included in the optimisation. This includes volumetric constraints on 1 or more periods (e.g. daily, monthly and annual contract constraints). In addition, KySwing accepts contracts based on a variety of spot and forward indexed products.

KySwing is fully embedded in the KYOS Analytical Platform. With automated data feeds, up-to-date swing valuations are always available. Further integration with third party ETRM systems can be established.

Methodology

KySwing 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. Users can also import their own price simulations, or use those of KySim.

Optimal trading and operating decisions are calculated by applying Least Squares Monte Carlo techniques. The volatility term structure and other simulation inputs are easily derived from historical data with the accompanying calibration tool. Implied option volatilities may be used as well, by overwriting the historical volatility estimates.

Trusted by organisations all over the world

Other Solutions

Portfolio management / CTRM

Does your company have a significant exposure to commodity prices? Then KYOS has a cost-effective solution for your daily management. The KYOS CTRM offers a detailed insight in your exposures, expected cash-flows, Mark-to-Market and more.

Read more ›

Risk analytics

KYOS offers unique software for measuring portfolio risks in energy and commodity markets. The risk analytics include Value-at-Risk, Cashflow-at-Risk and Earnings-at-Risk.

Read more ›

Price analytics

Market prices, market price forecasts and simulations are essential ingredients in energy and commodity management. KYOS offers a suite of functions and quant models to create and analyze all these price series.

Read more ›

Contact KYOS

KYOS
Nieuwe Gracht 49
2011 ND Haarlem
The Netherlands

E-mail: info@kyos.com
Tel: +31 (0)23 551 02 21

Follow us

Contact us via the form below. We will reply within 48 hours.

Request a demo via the form below. We will reply within 48 hours.

    We will send you a maximum of 1 newsletter/mailing per month. You can unsubscribe at any time. Our privacy policy is available under the Contact page.
  • This field is for validation purposes and should be left unchanged.

Book a training course via the form below.

  • (If available)
    We will send you a maximum of 1 newsletter/mailing per month. You can unsubscribe at any time. Our privacy policy is available under the Contact page.
  • This field is for validation purposes and should be left unchanged.

Request a training course via the form below. We will reply within 48 hours.

    We will send you a maximum of 1 newsletter/mailing per month. You can unsubscribe at any time. Our privacy policy is available under the Contact page.
  • This field is for validation purposes and should be left unchanged.

Plan a meeting via the form below. We will reply within 48 hours.

    We will send you a maximum of 1 newsletter/mailing per month. You can unsubscribe at any time. Our privacy policy is available under the Contact page.
  • This field is for validation purposes and should be left unchanged.