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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
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Quantitative Finance · المسرد

ما معنى Swing contract, take-or-pay clause؟

يُعرف أيضًا باسم: swing contract · take-or-pay clause

Definition 12.4 Markets III: Commodities, Energy and Crypto · الفصل 12 — Commodity Options and Structured Hedges

A swing contract lets its holder choose, each day, a quantity between a minimum and a maximum around a daily contract quantity, at a fixed or indexed price, subject to limits on the total taken over the year. A take-or-pay clause obliges the buyer to pay for a minimum annual quantity whether or not it takes it.

A swing contract, schematic: each day the holder nominates between a minimum and a maximum around the daily contract quantity (DCQ); the year’s total must stay within annual limits, and the take-or-pay clause makes the lowest total a payment in any case. Stylised, no data.
Figure 12.2. A swing contract, schematic: each day the holder nominates between a minimum and a maximum around the daily contract quantity (DCQ); the year’s total must stay within annual limits, and the take-or-pay clause makes the lowest total a payment in any case. Stylised, no data.

أمثلة

Example 12.5 (Three days of swing)

A buyer holds a three-day contract at 40 EUR/MWh40\,\mathrm{EUR}/\mathrm{MWh} with a daily contract quantity of 100 MWh, a swing of 20 MWh either way, and a total that must equal 300 MWh. Market prices turn out to be 30, 50 and 40. Taking 80 on the first day (buying the missing 20 in the market at 30) and 120 on the second (selling the extra 20 at 50) is worth 20×(40−30)+20×(50−40)=40020 \times (40 - 30) + 20 \times (50 - 40) = 400 euros more than taking 100 every day. With prices unknown in advance, the holder must decide each day, and the flexibility is worth less than this perfect-foresight value.

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