Increase profitability and reduce risk by choosing Quantego’s stochastic storage optimization. Optimal extrinsic valuation of storage for electricity or natural gas: optimize injection and withdrawal decisions, calculate optimal delta hedges, price storage contracts, calculate cashflow-at-risk and value-at-risk.
Quantego’s storage valuation solution offers the full range of methodologies: spot-based valuation, rolling intrinsic valuation, extrinsic valuation, which gives energy traders a complete view of the value of storage based on a broad set of different models.
What's inside the software?
- Extrinsic value of storage
- Optimal injection and withdrawal decisions
- Integrated model of storage operation and hedging
- Joint stochastic process of spot and futures prices
- Value-at-risk optimization
- Highly customizable model and interactive dashboard
- Rapidly deployed and securely hosted on AWS VPC
- Automate repeated optimization tasks
- Fully integrated in the QUASAR® Cloud platform
A detailed model of price evolution, hedging, and storage operationQuantego’s storage valuation models offer the full range of methodologies: spot-based valuation, rolling intrinsic valuation, extrinsic valuation, which gives energy traders a complete view of the value of storage based on a broad set of different models.
- Options for stochastic price models include (a) a one-factor, mean-reverting spot price model, (b) a risk-neutral model of term structure dynamics (multivariate Black model), (c) Quantego's empirical model of the daily evolution of the price forward curve.
- The operational decision model captures (a) calendar-based storage limits, (b) fill-dependent injection and withdrawal rates (ratchets), (c) trading in monthly, quarterly, yearly futures and spot.
- The model integrates hedging decisions and storage operations by modeling the trade-off between risk aversion and market impact cost of futures products with limited liquidity.
A ready-to-use graphical user interface
The model is available as ready-to-use yet highly customizable software solution deployed through QUASAR® Cloud.
Users can import and manage input data, execute optimization runs, calculate storage value, value-at-risk, delta positions, create interactive charts and reports, as well as export result data and easily share it across the organization. QUASAR® Cloud can be obtained as subscription service or set up on-premise via AWS VPC.
The world's most powerful stochastic programming solver
The model is driven by the powerful QUASAR® stochastic programming solver that combines the latest advancements in machine learning and mathematical optimization. QUASAR®’s highly efficient algorithms can solve the most complex stochastic-dynamic programming problems with hundreds of time stages, thousands of variables and millions of possible outcomes at an unprecedented speed.
Our storage valuation model for incomplete markets for natural gas has been published in the European Journal of Operational Research. Instead of risk- neutral pricing, the model uses a physical model of the possible evolution of the price forward curve. Extensive backtests of the model on historical future price data from Henry Hub showed higher profits than with a rolling intrinsic approach.
What are the benefits?
Profitability increase and risk reduction
- Forward-looking injection and withdrawal decisions
- High time resolution captures the true value of storage
- Calibrate price exposure to risk preferences
Risk management and compliance
- Follow best practices in energy storage valuation
- Detailed disclosure of value-at-risk and cash-flow-at-risk
- Back-to-back storage and portfolio optimization
Automated monitoring and reporting
- Daily injection and withdrawal recommendation
- Storage value and distribution analysis
- Comparison of different models
Hosted on QUASAR® Cloud
- Unify multiple models and its data on one platform
- Customizable model and reports
- Automate repeated optimization tasks
- Share model output as interactive reports across the organization
What our clients say
More Information and Resources
Check out our blog with more resources, such as white papers, customer success stories and academic publications.
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