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HHLEnergy

 

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The HEDGEHOG Energy product (HHLEnergy) is a pricing, analysis and risk management system developed specifically for the Australian Electricity market by:

  • Ian Merker & Co Pty Ltd - A long established Australian derivative systems producer
  • Lacima Consultants - An internationally recognised consultancy specialising in the mathematical analysis of financial derivatives

HEDGEHOG combines the very latest research and development techniques for electricity trading with the practical methodologies that have made HEDGEHOG interest rate products an industry standard for almost a decade.

Electricity markets are notorious for volatility and complexity. HEDGEHOG offers a down-to-earth approach for valuing electricity derivatives, offering sensible risk management facilities and flexible portfolio management capabilities. The reversion and jump diffusion processes incorporated in the model are at the forefront of energy derivative research in the world, and are the core of many new publications and specialist seminars being presented during 2000 and 2001.

HEDGEHOG is a product based on flexibility and innovative technology that is continually evolving to reflect the latest trends in Electricity trading in the Australian Market.

HEDGEHOG offers full trading facilities covering all trading regions in Australia and is easily adaptable to cover other markets across the world. It is fully integrated with currently available ‘Flat’ and ‘Peak’ SFE futures contracts.

FEATURES INCLUDE:

  • Consistent Risk Management across all energy products
  • Easy to use
  • Complete data base of historical data
  • Comprehensive deal capture and reporting
  • Automatic importing of all relevant Australian electricity data
  • Individual operation for each trading region (eg Vic, NSW, Qld, SA, Snowy)
  • Facility to define any half hour load profile
  • Flexible forward curve building
  • Complete historical trading analysis by standard profile and user defined profiles
  • Consistent Jump Diffusion and Mean Reversion models for derivative pricing
  • Closed form methodologies for exceptionally fast option pricing and portfolio revaluation
  • Provision of a range of trading tools
  • Extensive position keeping and performance analysis
  • Flexible Risk Management facilities
  • Multiple portfolio analysis
  • Inclusion of forward price calculators, profile calculators and option payoff analysis
  • Comprehensive and integrated handling of Futures contract trading and hedging
  • Simple to use option pricing screens
  • Implied volatility calculators
  • Volatility entry screens supported by historical volatility estimators
  • Simple generation of seasonal volatility effects
  • Retail load/price analysis
  • Retail load/price sensitivity analysis
  • Extensive use of graphics to represent market revaluations and sensitivities
  • Credit Risk analysis and reporting
  • Value at Risk analysis and reporting
  • Open and flexible database facilities
  • Complete public holiday definition by Region
  • Flexibility for accepting data uploading /downloading to other systems
  • Ability to break down portfolios into any user defined time series, and any load profile
  • Accrual of settlements from pool data to provide real time trading performance
  • Multi-level back office integration
  • Extensive deal logging and auditing facilities continually monitored
  • Extensive context based on-line Help system
  • Technical backup, support and training provided and tailored to users needs

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Last modified: July 14, 2006