Decision Trees GmbH has developed DT.Storage, a stochastic optimization tool for the management and valuation of assets related to the gas industry.
DT.Storage is able to represent individual assets or asset portfolios consisting of gas storage facilities, flexible gas procurement contracts, transport capacities, gas and oil markets with all their technical, contractual, and market-specific features. In particular, the system jointly maps future uncertainties of forward, day-ahead, and balancing energy market prices on gas and oil markets as well as retail load profiles by means of scenario trees with regard to the mutual correlations.
The generation of scenario trees is based on stochastic processes whose parameters, such as volatilities, correlations, and mean reversions, are mathematically determined based on historical data. The stochastic optimization based on scenario trees takes into consideration the facts that gas storage facilities and take-or-pay procurement contracts, in particular, are path-dependent flexibilities and that exercising them has an impact on the flexibility available in the future.
In addition, DT.Storage offers the option of modeling the liquidity of gas markets with regard to their market depth and price elasticity of the spot market as well as of the single forward products. Riskless profits from forward portfolio rearrangements are considered as well during the valuation process.
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