@ENERGY®
Pricing, hedging, & risk management for energy and power markets

Description
@ENERGY is a set of Microsoft® Excel add-in functions that values derivative instruments used in the power, natural gas, oil, coal, metal, and soft commodity industries. (You can also use @ENERGY to value currency options.) Typical users are traders, risk managers, gas and power marketers, utilities, industrial firms, brokers, and auditors.

@ENERGY is written completely in C and provides extremely fast calculations. It includes Excel add-in functions (XLL files), customizable Excel templates, and documentation. When installed, @ENERGY adds functions to Excel that are used like the built-in worksheet functions, so you can customize the @ENERGY templates or create new ones.

@ENERGY is also available as the ErgLib™ C library for Unix and Windows programmers who want to incorporate @ENERGY functions into custom and third-party C, C++, Visual Basic, and SQL database applications.

Features
Extensive Instrument Coverage The supported set of instruments (see Coverage) can be extended by combining and chaining functions to value complex transactions. @ENERGY includes templates for specialized trades such as power-daily contracts. FEA regularly expands instrument coverage and publishes new spreadsheet templates.

Cutting-edge Pricing Models You can value options using several methodologies. The Black-Scholes model values options the traditional way using lognormal price diffusion. The mean-reversion model also uses lognormal price diffusion but accounts for the tendency of commodity prices to move back to a long-run average level. The truncated distribution model includes mean reversion and allows you to specify a lower price bound, common in power markets.

Flexible Inputs With @ENERGY functions you can:
· Value American and European options with the same function
· Specify a straddle in addition to put and call options
· Express time periods with dates or tenors
· Specify a long, short, or closed position
· Specify entire price and volatility curves or only spot observations
· Specify forward prices directly instead of convenience yields
· Switch pricing models and their parameters on the fly
· Specify a value date different than your system time
· Easily switch between options on physical and options on futures
· Use optional and default arguments to enter the minimal amount of information necessary to get results

Comprehensive Results Several price and risk measures can be calculated with a single function call. The scalar risk measures (gamma, vega, theta, and so forth) are easily-interpreted discrete changes in value rather than rates of change. The functions also return delta, gamma, and vega risk curves, which give your true exposure to the entire price and volatility term structure, not just the spot as with traditional risk measures. These risk curves permit precise hedging. @ENERGY calculates implied volatility for all single-asset options and implied correlation for each asset-pair of multiple-asset options.

Calibration You can calculate the mean-reversion rate, forward volatility curve, spot (implied) volatility curve, and average spot volatility using option market prices/implied volatilities or the historical volatilities of futures.

Coverage
@ENERGY contains two independent modules. The first module, @ENERGY.1, values common exchange-traded and over-the-counter derivatives and calibrates pricing-model parameters using market prices:
· Forwards
· Index swaps
· Index swap options
· Exotic swaps
· American and European options
· Average-price options
· Average-strike options
· Forward-start options
· Barrier options
· Digital options
· Variable-quantity options
· Model calibration

@ENERGY.2 values European multiple-asset and compound options, commonly used in capacity, storage, transmission, and fuel arbitrage:
· Differential swaps
· Differential swap options
· Spread options
· Calendar spread options
· Crack options
· Compound options
· Best-of options