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Production Support

Project duration: 8 months

Brief description

Implementing energy trading products with a focus on futures and new portfolio structures in the Endur energy trading software for an energy trading group.

Supplement

The implementation of new products is done using the following instruments: ComFut, PWR-SWAP, PWR-PHYS, CO2-SWAP and CO2-PHYS. The necessary holding instruments in the ComFut toolset are imported with the OLF standard script ImportComFutHolding. The configuration of the import data based on the product documentation of the exchange. The customer enhanced the portfolio structure with two tran info fields to represent the book structure in Endur. When this structure is changed (e.g. the legal structure of the power plant business unit changes) the migration of deals from on book to another one is necessary. Depending on the deal type and the amount of deals, this was accomplished with a OLF custom script which can identify the deals using a query and deal attributes (Our BU, Ctp BU, Tran info fields) and save the deal in the db with changed field values. The new legal entity structure in the power plant business unit needed to be set on each new deal. Therefore a new script is specified.

Subject description

EEX Week futures(Base / Peak), EEX Day futures(Base / Peak)  EEX France year, quarter and month Futures in base and peak load  Nordpool CO2 CER and EUA Futures. N2EX futures: N2EX are traded with the normal banking calendar but use the EFA calendar 23:00h(t-1)-23:00h day. As ComFut instruments only support 0-24h days, the futures are cascaded into PWR-SWAP instruments at the beginning of the delivery month.

Overview

Project period01.04.2012 - 30.11.2012

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Dr. Andreas Schneider, grauhaariger Mann mit Brille

Dr. Andreas Schneider

Head of Energy

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