Storage Valuation

What's inside the software?

 A detailed model of price evolution, hedging, and storage operation

• 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.