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Quantitative Finance · शब्दावली

Burn analysis क्या है?

Definition 11.8 Markets III: Commodities, Energy and Crypto · अध्याय 11 — Freight, Weather and Other Corners

Burn analysis prices a weather contract by applying its payoff to the index values of past seasons, as if each had happened again, and taking the average payout as the fair value, with the distribution of payouts as its risk.

Burn analysis of the utility’s put: the payout it would have received in each of the last thirty winters, adjusted to the trend’s 2026/27 level. Six winters pay; 2011/12 pays the most. Data: the chapter’s tutorial, from NOAA GHCN-Daily.
Figure 11.4. Burn analysis of the utility’s put: the payout it would have received in each of the last thirty winters, adjusted to the trend’s 2026/27 level. Six winters pay; 2011/12 pays the most. Data: the chapter’s tutorial, from NOAA GHCN-Daily.

उदाहरण

Example 11.10 (The utility’s put)

On the last thirty winters at O’Hare, detrended to the winter of 2026/27, the burn estimate of the season’s HDD is 4 677. A put struck 10% lower, at 4 209, paying $20 000 per HDD with a $20 million cap, would have paid in 20% of the adjusted winters: $0.61 million on average, $1.60 million in the 90th-percentile winter and $9.30 million in the warmest. Without the detrending the estimate is 4 871 and the average payout $0.56 million.

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