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Aggregate mark-to-market values across an entire portfolio of options and
complex contracts
Utilize Lacima's industry acclaimed single and multi factor models to
mark-to-market and mark-to-model a wide array of energy and commodity contracts
in a consistent way, and compare the value of different product types in liquid
and illiquid markets. 
Price complex multi-commodity contracts with industry acclaimed single,
multi factor and hybrid models
Lacima's models provide an accurate representation of commodity price
behaviour, with the ability to incorporate the effects of seasonality, mean
reversion and exposure to spikes, differences in regional energy markets,
complex contracts with embedded optionality and physical asset operational
constraints.
If the pricing technique used is mean reversion jump diffusion, then the
implied pricing parameters for one derivative type could be used to price other
derivative contract types for which there may be no price in the market.
Achieve greater accuracy in representation of value-at-risk across an
entire portfolio
Aggregate VaR calculations across several commodities and achieve a single VaR
figure, group VaR by any attribute (e.g.s. counterparty, book, trader contract
type) for any number of horizons and percentiles, and jointly model several
commodities to observe correlations between price changes.
Determine the effect of trading decisions on cash flow at risk over time
Aggregate EaR calculations across several commodities and achieve a single EaR
figure, group EaR by any attribute for any number of time periods and
percentiles and jointly model several commodities to observe correlations
between price changes.
Based on Monte-Carlo simulation, VaR and EaR figures are generated by
incorporating data from clients' existing databases of price histories,
contract specifications, market forward curves and volatilities. All risk
factors are simulated at a user defined granularity.
Assess the impact of potential future exposure to cash flow at any given
time
Calculate potential future exposure for any number of risk horizons or cash flow
at risk for any number of time periods grouped by counterparty, while
accounting for changes in their credit ratings and the possibility of default.
Identify the best hedge combinations
Define and visualize the effectiveness of various hedge combinations. Input,
view, edit and run hedging decision analysis over a portfolio of contracts over
a desired evaluation period.
Identify the best possible revenue outcomes from contract flexibility
Capture intrinsic, extrinsic and full values from complex contracts such as gas
storage, swing and generation assets, in order to identify the best possible
revenue outcomes from contract flexibility. Perform "what-if scenario" analysis
and measure sensitivities to prices.
Accurately determine the risk and value associated with power generation
assets
Value portfolios of power contracts and generation assets at once with a
holistic view of optimal dispatch strategies. Choose from a range of generation
dispatch algorithms including ramping, price based, energy limited, wind and
multi-unit generation, capture wide ranging constraints and obtain a comprehensive range of results/outputs
including $ value, maximum/total MWh, average peak/off-peak forward, average
peak /off-peak strike, face value, distributions of profit/loss, earnings and
costs.
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Make more accurate demand forecasts by modeling volatility of retail loads
Model the residual variability relationship of weather or diurnal supply or
demand effects on gas and power markets. Lacima's model accurately represents
the future load outcome and simulates the variability in the load over both
short and long time frames around the load forecasts.
Make optimal decisions on dispatch of power generation assets
Estimate and model the historical relationship between price and demand (load)
in power markets at a user defined granularity (e.g.s. hourly, on a business
day / non-business day, peak / off-peak basis). Capture the "fat tails" and
"spikes" of real-world electricity prices by combining simulations of load and
price for a more accurate assessment of the value and risk of a physical unit
or electricity contract.
Value a portfolio of storage contracts and assets with a holistic view of
reporting on optimal strategies
Utilize industry leading models for decision support for intrinsic, rolling
intrinsic, extrinsic and optimal spot trading strategies, with the ability to
capture a wide range of parameters into risk calculations and to visualize
distributions of cash flows, storage levels, injections and withdrawals out of
the optimization. Drill down to analyze contract information and obtain a
comprehensive range of results for gas storage portfolios.
Click here for full details.
Value the flexibility of a portfolio of swing contracts and assets with a
holistic view of reporting on optimal exercise strategies
Utilize industry leading models to value swing contracts with greater accuracy,
visualize distributions of cash flows and swing values and incorporate a wide
range of constraints into risk calculations. Drill down to analyze contract
information and obtain a comprehensive range of results for swing contract
portfolios.
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Identify revenue outcomes relating to shipping and delivery of LNG and
Cargo
Lacima has helped clients to address issues relating LNG and cargo through its
highly acclaimed advisory expertise.
Effectively analyze price data
Closely observe the distribution of spot prices produced by Lacima's range of
single and multi factor models with the ability to drill down to any level of
granularity to see the statistics displayed.
Generate detailed forward curves for multiple commodities
Generate detailed forward curves for different commodities including forward
market quotes, intra-day, intra-week and seasonal price profiles at
user-specified output granularities with the ability to easily create a
detailed forward curve from sparse market and historical data. Overlapping
forward quotes are easily incorporated as well as user defined holiday tables
and peak/off-peak definition.
Obtain detailed results and output reports into other reporting systems
with ease
Build any custom reports required, store and re-run reports at any time, export
all data and results into any standard format, graph, filter, rearrange and
aggregate data.
Effectively calibrate price data
Calibrate any of Lacima's single, multi factor and hybrid simulation models to
historical spot or forward quote prices.
Assess the impact of trading strategies on earnings at risk outcomes
Enter a single load variation (forward curve variation), parameter variation,
pricing date, contract set and correlation set, then compare the differences in
the earnings-at-risk outcomes.
Generate detailed load profiles from historical load data
Lacima has helped clients to improve modeling of load forecasts through its
highly acclaimed advisory expertise.
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Overview
