جميع الكتب

مهني

1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
التطبيقات حول المدرب تسجيل الدخول ابدأ القراءة

Quantitative Finance · المسرد

ما معنى Extrinsic value, rolling intrinsic؟

يُعرف أيضًا باسم: extrinsic value · rolling intrinsic

Definition 16.7 Rates, Credit, XVA and Risk · الفصل 16 — Commodity and Energy Derivatives

The extrinsic value of a facility is its value above the intrinsic, from the right to change the schedule as prices move. The rolling intrinsic strategy captures part of it: re-optimise the schedule on each new forward curve and re-hedge the difference, never losing the intrinsic already locked in.

The illustrative forward curve (left axis) and the intrinsic plan’s inventory at the end of each month (right axis): fill in the cheap summer months, empty in the dear winter ones. Data: the chapter’s tutorial.
Figure 16.3. The illustrative forward curve (left axis) and the intrinsic plan’s inventory at the end of each month (right axis): fill in the cheap summer months, empty in the dear winter ones. Data: the chapter’s tutorial.

أمثلة

Example 16.9 (A season of storage)

A facility of 1 million MMBtu (ten units) starts and ends the April–March year empty; it can inject two units a month and withdraw four, at 2 cents per MMBtu each way. On the curve of Example 16.2 the intrinsic plan injects two units a month from April to August and withdraws in December, January and February (Figure 16.3); its value is USD 634 447. Rolling intrinsic on 4 000 simulated curves is worth USD 699 550, least-squares Monte Carlo USD 698 182: an extrinsic value of about 10% of the intrinsic at a monthly decision frequency. Daily decisions, which a fast facility can take, add more.

اقرأ في الفصل →