UK Power Value Neutral hedge

Version 1.0.0.0 (108 KB) by Ahmos Sansom
Example of a value neutral hedge for the UK power (electricity) markets.
0.0
(0)
703 Downloads
Updated 21 May 2010

View License

Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets.

HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral hedge.

The code assumes that there is limited liquidity and that only Base, Peak and Night products are only available to hedge the demand profile.

To run:
HedgeControl

Cite As

Ahmos Sansom (2024). UK Power Value Neutral hedge (https://www.mathworks.com/matlabcentral/fileexchange/27692-uk-power-value-neutral-hedge), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Financial Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0.0