Every month KYOS publishes a short report about the profitability of European power generation, covering the three major markets: Germany, France and Great Britain. The report is a reflection of the actual power plant valuations made with our software models, and shows the profitability of clean dark and clean spark spread options, both the realized and expected future values. The spread option products are a benchmark for the profitability of actual power plants, which have a wide diversity of production parameters.
Please find below the corresponding links to the Power reports:
All valuations have been performed with KYOS software and models, KyPlant and KySim. The outcome or simulation values are the average across a large number of Monte Carlo price simulations. The models are using the least-squares Monte Carlo methodology to derive the optimal dispatch (exercise) of the products.
How does these actual power plant valuations translate to your own situation? You can use these figures to benchmark the intrinsic and extrinsic value of your own plant. How does your plant compare? Please contact us if you would like our help in getting data for your market and plant situation.
Use the KyPlant model to optimize your plant production by calculating your optimal dispatch – on short term and longer horizon. Make daily production decisions for the spot market. For forward markets, let the KyPlant model show you the optimal intrinsic hedging and delta hedging strategies. Especially for summer months with low intrinsic values, active delta hedging is required to capture the most of the extrinsic value.
An intuitive and realistic Monte Carlo simulation model forms the basis for the extrinsic values. A combination of forward and spot trading strategies is applied to the simulated price scenarios, using dynamic programming 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.
KYOS valuation software is widely used in the energy industry. You can find more information about our power plant valuation software on our solutions page. Contact us for more information about the models and assumptions underlying this report, or to request a demonstration of the KYOS software via the form below or e-mail us: email@example.com. Please let us know what you think about this report – we do hope you find it useful! Are you missing information? Or do you have other suggestions? We look forward to hearing from you!
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