Weather will be particularly attractive to weather sensitive organizations such as energy companies, the agricultural industry, and insurance companies. FEA regularly expands instrument coverage and publishes new spreadsheet templates. Historical analysis uses past temperature data from specified months to generate a set of historical payoffs. The Monte Carlo method values the instrument by simulating daily temperatures, computing a composite of simulated payoffs, and then analyzing its statistical properties.
Users can benchmark the results of one methodology versus the other.
Derive model parameters from historical temperature data Comprehensive Results All scalar price and risk measures can be calculated with a single function call. Output includes histograms for comprehensive analysis of simulated and historical temperatures and payoffs. The calibration function returns full temperature and volatility curves. Inc. All rights reserved.