Derivative pricing
Mark-to-market deals. Energy specific models.
Lacima’s derivative pricing solution calculates values and risk sensitivities for a wide range of commonly traded instruments, including a range of swap types, options, swaptions, Asians, caps, floors, collars, and spread options, taking into account the unique features of energy prices.
Fact Sheet
Benefits
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Value derivatives using industry recognised models
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Account for mean reversion, jumps, and seasonality in energy and commodity prices
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Derive hedge sensitivities to all the input parameters
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Flexibility of a spreadsheet within an application environment providing all the security and controls for good risk management and auditability
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No costly replacements of existing deal capture systems and databases
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Full transparency with published analytics methods readily available to clients
* This solution can be delivered individually or combined seamlessly with other suite or solution(s) in any suite in Lacima Analytics, to create an answer tailored to your specific needs.