  We derive a model based on the structure of dependence between a Brownian
motion and its reflection according to a barrier. The structure of dependence
presents two states of correlation: one of comonotonicity with a positive
correlation and one of countermonotonicity with a negative correlation. This
model of dependence between two Brownian motions $B^1$ and $B^2$ allows for the
value of $\mathbb{P}\left(B^1_t - B^2_t \geq x\right)$ to be higher than
$\frac{1}{2}$ when $x$ is close to 0, which is not the case when the dependence
is modeled by a constant correlation. It can be used for risk management and
option pricing in commodity energy markets. In particular, it allows to capture
the asymmetry in the distribution of the difference between electricity prices
and its combustible prices.
