SWING®
Swing contract pricing, hedging, & risk management for natural gas and power markets

Description
SWING is a set of Microsoft® Excel add-in functions that values swing contracts used in the natural gas and power markets. Swing contracts are also called swing delivery, base load, variable load, or interruptible transportation contracts. Typical users are traders, risk managers, gas and power marketers, utilities, brokers, and auditors.

SWING 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, SWING adds functions to Excel that are used like the built-in worksheet functions, so you can customize the SWING templates or create new ones.

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

Features
Extensive Instrument Coverage Swing contracts give the holder the right to take daily delivery of a certain nominated amount of commodity on certain future dates at a fixed price. The holder also has the right to change-or swing-this delivery amount. A swing right can be exercised on the day preceding a delivery day; only one swing right can be exercised per day. A predetermined maximum number of swings can be exercised during the life of the contract and overall maximum and minimum amount constraints apply during the same time period. The supported set of instruments (see Coverage) can be extended by combining and chaining functions to value complex transactions. SWING includes templates for specialized trades such as November-March peaking options and annual strips. FEA regularly expands instrument coverage and publishes new spreadsheet templates.

Comprehensive Results All price and risk measures can be calculated with a single function call. Results include fair value and sensitivity with respect to price (delta and gamma), volatility (vega), yield (lambda), and interest rate (rho). Results are decomposed into the contract's three components: swing options, strip value, and delivered amount.

Optimal Exercise Indicator SWING functions calculate an indicator gauging whether it is optimal to exercise a swing right. This indicator specifies if a swing right should be immediately exercised and, if so, whether the delivery amount should be increased or decreased.

Daily and Nominated Delivery Amounts You can price both daily and nominated delivery contracts. In a daily delivery contract, the swing amount reverts to the fixed nominated amount immediately after delivery. In a nominated delivery contract, the swing amount becomes the new nominated amount that will be delivered, beginning the following delivery day, until exercise of a new swing right.

Flexible Settlement Terms Financial settlement for delivery can be either at contract expiration or on each delivery day.

Delivery Constraints You can set the maximum and minimum delivery amount per day or per month.

Penalty Provisions If, during the life of the contract, the total amount delivered is either less than the minimum monthly amount or exceeds the maximum monthly amount, a penalty is paid by the contract's holder at expiration. You can specify either a buyback penalty where the holder pays the contract's writer the cost of the deficient or excess amount or a simple fixed-unit penalty per unit of the excess or deficient amount.

Coverage
SWING functions value these instruments:
· Daily swing contracts
· Nominated swing contracts