UK Power Value Neutral hedge

Example of a value neutral hedge for the UK power (electricity) markets.

Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets.

HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral hedge.

The code assumes that there is limited liquidity and that only Base, Peak and Night products are only available to hedge the demand profile.

To run:
HedgeControl