Industrial Pipe

Storage Model

Natural gas storage provides value by allowing injection and accumulation of surplus natural gas during periods of low demand when prices are low, and permitting withdrawal during periods of increased demand when prices are high.

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Fix input errors below and run again:

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The working capacity of the storage facility.
to First and last day you can inject/withdraw gas to/from the storage.

Rate Constraints

If 'on' ensure that optimal schedule is constant over each period.

Injection Rates

The maximal daily rate of injection into storage.

As the level of natural gas increases inside the storage facility, pressure rises and the maximum amount of natural gas that can feasibly be injected, decreases.

Use ratchets to specify different injection rates based on the level of natural gas inside the storage facility.

pro

Pro feature. Requires credits.

pro

Pro feature. Requires credits.

Rates errors: Level errors:
Period Rate (MMBtu/Day)
Levels: {{n == 1 ? "0%" : calc.data.ilvl[n-2] + "%"}} - % {{last(calc.data.ilvl)}}% - 100%
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Rates:

Withdrawal Rates

The maximal daily rate of withdrawal from storage.

As the level of natural gas increases inside the storage facility, pressure rises and the maximum amount of natural gas that can be withdrawn, increases.

Use ratchets to specify different withdrawal rates based on the level of natural gas inside the storage facility.

pro

Pro feature. Requires credits.

pro

Pro feature. Requires credits.

Rates errors: Level errors:
Period Rate (MMBtu/Day)
Levels: {{n == 1 ? "0%" : calc.data.wlvl[n-2] + "%"}} - % {{last(calc.data.wlvl)}}% - 100%
{{name}}
Rates:

Level Constraints

The final inventory level in storage after the last day of operation period as specified by the storage contract.
pro

Pro feature. Requires credits.

Volume Constraints

pro

Pro feature. Requires credits.

Injection/Withdrawal Costs Injection/Withdrawal Costs - fixed payment per unit of gas in/out of storage.

Injection/Withdrawal Fuel - part of injected/withdrawn gas that is used to power storage compressors. This cost is expressed as % of total injected/withdrawn gas.

pro

Pro feature. Requires credits.

Injection cost errors: Injection fuel errors: Injection cost errors: Injection fuel errors:
Period Injection cost ($/MMBtu) Injection fuel (%) Withdrawal cost ($/MMBtu) Withdrawal fuel (%)
{{name}}

Extrinsic

Calculate extrinsic value and greeks (in addition to intrinsic) pro

Pro feature. Requires credits.

The day on which the contract was first valued.
Keeping this date same for different Valuation Dates specified below, prevents model from producing artificial PnL swings due to rolling over random numbers.

Valuation Day Data

The day on which you are valuing the contract.
The valuation date can be after the start date if you are valuing the contract inside the storage operating period.
Inventory level in storage at the valuation date (or at the start of operation period, if operation period starts after valuaton date). The level is expressed as % of capacity.
Existing position in forward contracts hedging injections/withdrawals. All values are usually 0 for initial valuation. pro

Pro feature. Requires credits.

Toggle to 'on' if there are spot (day ahead) and/or balmo prices.
Cash period starts at valuation date.
Valuation day is before delivery period, so no spot or balmo price required.
pro

Pro feature. Requires credits.

Set to zero if there is balmo price, but no spot.
Over the weekends or holidays spot price can span more than one day.
It is possible that there is no balmo if spot spans more than one day in the end of month.
Cash bid price errors: Cash ask price errors: Cash initial position errors:
Period Bid ($/MMBtu) Ask ($/MMBtu) Existing Position (%)
Spot
Balmo


Bid price errors: Ask price errors: Discount factor errors: Initial position errors: Volatility errors:
Period Bid ($/MMBtu) Ask ($/MMBtu) Discount Factor Existing Position (%) Volatility (%)
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The data should have {{3 + (isExtrinsic ? 1 : (hasV0 ? 1 : 0))}} columns:

  • bid - ($/MMBtu)
  • ask - ($/MMBtu)
  • df - discount factor from valuation day to middle of each period
  • v0 - existing hedge (% of storage capacity)
  • volatility (%)
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