Commodity Sales Hedger

Market data & portfolio constraints

Minimum

Maximum:

Download

Method:

Mean Reverting Binomial

Days/Year:

Time Step:

Nb. Simulations:

Displayed Paths:

Volatility:

Units: Mean Reversion:

Win/Loss:

Initial Price:

Win Prob:

Maximum CVaR:

CVaR confidence level:

Use Futures

Buy Puts

Sell Calls

Display Paths

Configured Portfolio Expected P&L:

Un-hedged portfolio Expected P&L:

Configured Portfolio VaR:

Configured Portfolio CVaR:

Date