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Natural Gas Storage Valuation

version 1.1.0.1 (2.16 MB) by Ameya Deoras
Demos and files from the webinar

2.4K Downloads

Updated 01 Sep 2016

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This example demonstrates using MATLAB to analyze and value a natural gas storage contract. Such valuations are typically done when financing/purchasing storage facilities, structuring contracts to lease storage facilities or marking to market the value of these assets. In this example, we implement some of the most common approaches including Intrinsic Valuation, Spread-Option Valuation & Rolling Intrinsic Valuation. To view the webinar, please visit http://www.mathworks.com/videos/natural-gas-storage-valuation-with-matlab-94575.html
The example demonstrates the complete MATLAB modeling workflow from accessing data, building analytics and sharing results as reports and an Excel deployed application.
Highlights include:
* Realistic storage constraints including ratchets on injection/withdrawal limits
* Linear & integer linear programming
* Downloading & processing data from Quandl using tables
* Spread option pricing
* Monte Carlo simulation of multi-factor forward models calibrated to historical futures and option data with PCA
* 3-D & heatmap visualizations
* Rolling position viewer app

For more information on gas storage valuation, see the included PDF document.

Cite As

Ameya Deoras (2021). Natural Gas Storage Valuation (https://www.mathworks.com/matlabcentral/fileexchange/47667-natural-gas-storage-valuation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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