UK Power Value Neutral hedge

Version 1.0.0.0 (108 KB) by Ahmos Sansom
Example of a value neutral hedge for the UK power (electricity) markets.
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Updated 21 May 2010

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Simple example showing how a value neutral hedge is determined for the UK power (electricity) markets.

HedgeControl Function for power hedging of Balance of Month, Monthly and Seasonal products based on value forward preservation hedging, i.e. uses the forward curve to determine the value neutral hedge.

The code assumes that there is limited liquidity and that only Base, Peak and Night products are only available to hedge the demand profile.

To run:
HedgeControl

Cite As

Ahmos Sansom (2025). UK Power Value Neutral hedge (https://www.mathworks.com/matlabcentral/fileexchange/27692-uk-power-value-neutral-hedge), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0