storage model change : commodity delta dear all ,
i change the storage model output to its total value versus the unit value
before .
the total value refers to the total present value of the storage capacity at
given
status ( initial conditions ) .
the way i calculate the unit value is
( total pv - s * capacity taken ) / total capacity
which could suffer some negative numbers since s , the spot price could be
very high . the correct way is to define the s as the average injection gas
price , but
this would be troublesome to compute .
by switching to total pv , the delta can be interpreted as total commodity
delta for the
hedge . actually , duffie also suggested using the total pv as the output in
his audit
review .
i have attached the xll model below .
zimin
storage model change : commodity delta
dear all ,
i change the storage model output to its total value versus the unit value
before .
the total value refers to the total present value of the storage capacity at
given
status ( initial conditions ) .
the way i calculate the unit value is
( total pv - s * capacity taken ) / total capacity
which could suffer some negative numbers since s , the spot price could be
very high . the correct way is to define the s as the average injection gas
price , but
this would be troublesome to compute .
by switching to total pv , the delta can be interpreted as total commodity
delta for the
hedge . actually , duffie also suggested using the total pv as the output in
his audit
review .
i have attached the xll model below .
zimin