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Suite of Models


WTM also offers a suite of supporting natural gas models to complement its innovative storage model. The suite includes . . .

  • Swing option model. Built on WTMís two-factor tree model that works so well for storage modeling, the swing model handles any combination of fixed and floating strikes along with must-take exercises. The modelís output not only includes values but also cash-price thresholds for optimal exercising and results for delta-hedging.

  • Transport / Spread option model. This model is a standard model for valuing firm transport, spark spread options, and basis options.

  • Calendar spread option model. This model is derived from the WTM two-factor price process and is mainly used to value options on parks and loans.

  • Standard NYMEX option model. Such a model is used for valuing any option on a futures contract.

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