Delta and Historical VaR
This spreadsheet enables verification of historical and delta VaR results, for a single transaction under the following assumptions: the transaction is two-sided, i.e. one floating side and one fixed side; – the transaction
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Off-Peak Delta on Baseload Power Deals
This article provides an explanation for unexpected price exposure arising from a one-day power deal pricing from the monthly part of the forward.
[SQL] Batch Sim Definition setup
The following SQL can be used to look at the Batch Simulation Definitions that have been set up.
Gas Averaging Pricing : to Average on the Deal or the Curve
This article looks at two approaches to creating required averaging structures, on oil indexed gas contract deals
Black Scholes ( Black 76 ) Pricing Model in Endur
Excel Pricing Model Spreadsheet for Black Scholes , which for commodities reduces to Black 76 .
Introduction to OpenLink’s Connex Grid
Openlink systems are comprised of a network of distributed application processes across multiple run sites. A good example of
