Solutions / Lacima Trader

Swing

 

Structure, value, hedge, and analyse swing contracts to maximise profit.

Your Swing Questions

How can I evaluate and compare performance under different models including intrinsic and rolling intrinsic?

How can I determine when to exercise swing options to maximise profitability?

What are the intrinsic and extrinsic values of a swing contract?

How can I determine the optimal value and exercise of a swing contract and how it may change over time?

How do I assess the impact of shocks and scenarios on the value of my swing contract?

How do I identify the hedges required to risk manage my swing contract?

How can I identify the actions needed to drive trading and asset management decisions?

Our Solution: Swing

Analyse, value, and hedge swing contracts to deliver maximum profit.

Swing provides traders, structurers, and risk managers with the timely insights they need to effectively make and justify decisions. The outputs provided help understand and explain the drivers of value.

A collection of charts depicting different risk and value profiles from swing analysis.
Swing profile summary

Features: Swing

A chart depicting the distribution of value for a German Wind farm.

  • User-specified inputs support the unique needs of swing contracts such as TCQ, DCQ, indexation, minimum bill, and volume-to-date
  • Range of available valuation methods including intrinsic, rolling intrinsic and semi-analytical method
  • Calculate intrinsic and extrinsic value and the full distribution of value
  • Detailed output tables of optimal daily take and rebalancing trades
  • Decompose P&L into physical and financial value
  • Full simulation of forward prices using a multi-factor model
  • Evaluate strategies through time using historical data or user-defined forecasts
  • Identify trades required to rebalance to optimal position for monetisation of trading strategies with the trade blotter
  • Calculate daily decisions on optimal take volumes
  • Flexible customisation through the familiar Excel interface

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