Solutions

Trading Analytics

 

Stand-alone trading, structuring and valuation tools for Front Office. Consistent numerics with Middle Office.

Your Questions

Am I confident in my pre-trade analysis and what-if analysis?

Are my models accurate, robust and industry vetted?

Can I drill down into detailed outputs and deal value drivers?

Can I confidently explain the components of value to senior management?

Are we using industry-specific models that account for mean reversion, jumps, seasonality and inter-relationships in energy and commodity prices?

Is there a framework that uses flexible tools to value derivative instruments used in power, gas, oil, coal, metals and soft commodities?

Our Solution

The Lacima Trader suite of products for Front Office are designed specifically for energy and commodity markets.  They work as stand-alone trading, structuring and valuation tools with the ability to drill down into detailed outputs and value drivers.

Designed by traders, for traders, these products interface seamlessly with the same numerics engine used by Lacima Analytics allowing portfolio level analysis and a consistent approach between trading and risk management. There are a range of products available within the Lacima Trader suite covering the areas of calibration, derivative pricing, building forward curves and simulation.

Key reasons that our customers choose to use Lacima Trader:

  • Works with real-world scenarios: designed to plug into a live trading process
  • Fully flexible to undertake ad-hoc analysis for structuring and valuing complex deals
  • Customisable to the needs of the user
  • Full drilldown from model to underlying trades for maximum transparency. Analyse all sources of value with an exhaustive list of output properties for all models including Greeks, unit Greeks, model parameters, individual simulations etc.
  • Powered by Lacima’s multi-award winning analytics
  • Use for multi-commodity, multi-geography and multi-currency trading valuation and optimisation.
  • Covers the full range of markets including power, gas, LNG, crude, ags and metals.
  • Uses the same models and methodologies as used by Lacima Analytics allows for consistency of valuations between front and middle office
  • Easy to learn with most products in a familiar & intuitive Microsoft Excel environment
  • Quick and cost-effective implementation with options to use our pre-built templates
  • Gives full transparency with published analytics methods readily available

Products within the Lacima Trader suite include

Storage: Structure, value and hedge gas storage assets to maximize profit.  Plug directly into a live trading process and identify the trades required to rebalance a storage portfolio to enable optimal monetization.  Detailed drilldown allows full explanation and understanding of the drivers of value.

  • Trade blotter: identifies trades required to rebalance to optimal positions for monetization of trading strategies
  • Real-world actionable outputs including optimal position, individual trade P&L and a full set of Greeks
  • Detailed drilldown to individual days of each simulation, allowing full explanation and understanding of the components of value, including trading decisions
  • Range of valuation methods: intrinsic, rolling intrinsic, spot optimization and basket of calendar spread options
  • Delta hedging: fully supports delta hedging strategies, allowing full option value to be monetized
  • Back-testing and scenarios: evaluate strategies through time using actual historical data or user-specific forecasts

Simulation: Generate simulations of spot and forward variables with an advanced Monte Carlo simulation engine. Perform statistical and valuation analysis directly using the templates provided or use within third-party or in-house valuation and risk analysis solutions.

  • Multi-commodity: use Lacima’s multi-variable modeling framework to simulate any set of fully correlated markets
  • Award-winning models: includes a full range of industry recognized single and multi-factor models, or create user defined spread and non-linear models
  • Easy to define models: create detailed parameterizations of a wide range of both single-factor and multi-factor models
  • Transparent: output spot and forward simulations at daily, hourly and sub-hourly granularity, calculate key statistics, distributions and even drill down into individual simulations
  • Fast simulations: generate fast and accurate results with prices simulated using Lacima’s modeling framework
  • Analyze, view and graph simulations for detailed analysis
  • Compatible: perform analysis directly within Microsoft Excel or output simulations for use in other models and software

Pricer: Calculate values and risk sensitivities for a wide range of commonly traded instruments. Enjoy the flexibility to value deals directly within existing templates provided, or to build bespoke derivative pricing and risk management spreadsheets for customized analysis.

  • Industry-specific models that account for mean reversion, jumps, seasonality and correlations in energy and commodity prices
  • Fast and accurate results even when calculating complex simulation-based pricing and risk sensitivities
  • Analyze, view and graph derivatives exposures
  • Flexible: value derivative instruments used in power, natural gas, oil, coal, metals and soft commodities
  • Comprehensive results: functions calculate prices and all the relevant risk sensitivities
  • Wide range of instruments covered including: European, Asian, American, Dark spread, Spark Spread, Clean-spark spreads, Clean-dark spread and gas transportation options, caps & floors, forwards, futures, swaps (fixed & floating) and calendar spreads

Curve: Convert forward quotes into detailed arbitrage-free forward curves. Curve supports multiple levels of granularity, including: monthly, weekly, daily, hourly and half-hourly. Use within existing templates provided, or apply the function library to build Curve functionality into in-house valuation and risk analysis solutions.

  • Profile quotes: create a fully shaped forward curve by profiling market quotes
  • Cross commodity: flexible enough to deal with the specific needs of different commodity classes – from gas, power and oil, to freight, metals and soybeans, and everything in between
  • Forecast from history: build shapes for price relationships from historical prices. Shapes may be built by any combination of month, season, weekday or hour of the day
  • Fast: generate curves quickly for complex markets with high levels of granularity, such as power markets
  • Analyze, view and graph market curves at various levels of granularity using Microsoft Excel to conduct quick ad hoc analysis
  • Integrated: use Curve on a stand-alone basis to build curves or with other products in the Lacima Trader suite to run simulations and value trades