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Tuesday, February 07, 2012 ..:: Natural Gas Storage ::..   Login
 CRG Natural Gas Storage Model Minimize

Our primary product is the CRG Natural Gas Storage Model which we believe is the most powerful and sophisticated model for valuing and trading Natural Gas Storage.

Listed below is a partial list of the model features:

  • Tree based model (does NOT use a Monte Carlo or Spread Option approach.)
  • Uses Forward Prices.
  • Uses Implied Volatilities.
  • Injection/Withdrawal Ratchets.
  • Time based constraints.
  • Fuel/Commodity charges.
  • Ad Valorem taxes.
  • Allows different injection and withdrawal points.
  • Allows futures, puts, calls and straddles as hedging instruments.
  • Can handle interruptible storage.
  • Values park and loan deals.
  • Calculates Greeks.
  • Automated historical backtesting with playback.
  • Can price Right Of First Refusal (ROFR) options.
  • Imports live feeds.
  • Provides schedules for physical injection and withdrawal.
  • Model run times less than one minute for a one year deal.
  • Uses XML format to store data files.

 

The CRG Storage Model is the ONLY storage model currently available that has the automated backtesting feature. With this tool, back testing the value of a storage facility in past years is a breeze. Before you bid on your next deal, you can determine how profitable the deal was in prior years. And the model is so fast that back testing for an entire year takes less time it takes for a single run for some of our competitors.
    

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