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Enron Mail |
Dear All,
I change the storage model output to its total value versus the unit value before. The total value refers to the total present value of the storage capacity at given status (initial conditions). The way I calculate the unit value is (Total PV - S*capacity taken)/total capacity which could suffer some negative numbers since S, the spot price could be very high. The correct way is to define the S as the average injection gas price, but this would be troublesome to compute. By switching to total PV, the delta can be interpreted as total commodity delta for the hedge. Actually, Duffie also suggested using the total PV as the output in his audit review. I have attached the XLL model below. Zimin
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