Volatility calibration for a gas trader

  • Situation

    A U.K. gas trader has several swing options and gas storage in his portfolio. In order to comply with International Financial Reporting Standards (IFRS), he needs to compute the fair value of these options, taking into account market volatility.

  • Complication
    There is no liquid market for gas swing options and storage, and as such volatility values cannot be implied from similar products.
  • Solution
    We implemented a volatility calibration model that estimated short and long term volatility based on historical forward curves. The user interface allowed definition of seasonality and 3-dimensinoal visualization of historical forward curves with noise animation.

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    "Trading Integral Solutions applied high quality standards when they delivered their project to us. We benefited greatly from our interaction with their highly skilled team of experts!" Olga Kutuzova, IFRS Group Manager at Novatek Gas & Power
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