SparkSpread

Description

Displays the Spark Spread, an intermarket spread for Electricity and any fuel used to produce electricity.

Formula

SparkSpread(electricity, fuel, generatorHeatRate, peakDays, fuelID)=begin

   if fuelID == 0 then FuelMmBtus = NG_CONT_SIZE

   if fuelID == 1 then FuelMmBtus = HO_CONT_SIZE

   if fuelID == 2 then FuelMmBtus = COAL_CONT_SIZE

   elecDelivered = 400 * peakDays

   fuelPrice = fuel.recent * FuelMmBtus

   hRatio = SparkHedgeRatio(generatorHeatRate, peakDays,
      FuelMmBtus)

   retval = Scale(((elecDelivered * electricity.recent) -
      (fuelPrice * hRatio)) / elecDelivered,SPREAD_SCALE)

   retval

end

Parameters

electricity

Specifies the electricity contract used to represent the cost of electricity.

fuel

Specifies a fuel contract that represents the cost of the energy source used to produce electricity.

generatorHeatRate

The heat rate of the electricity generator in question in mmBtus.

peakDays

fuelID

0 = NYMEX Natural Gas

1 = NYMEX Heating Oil

2 = NYMEX Coal

Return Value

Examples

Comments