Gas Swing Contract

Gas Swing Contract

Gas Swing Contracts typically have the following features:

• There are usually 3 levels at which the Physical commodity is delivered (low/normal/high);
• The contract holder is usually constrained in the number of decisions they can make, and they will normally need to be made at certain times of the day for a physical delivery happening in the near future;

As these contracts are traded over-the-counter, there can be a high degree of variations to the above attributes. The Netrium Gas Swing contract acts as above.

contract =
    gasSwing
        (initialMarginFee <> exchangeFee 100)
        (Market gas thm nbp)
        (cpardLowVolume, cpardNormalVolume, cpardHighVolume)
        cpardGasPrice gbp cash
        2
        [ (datetime 2012 10 (d-1) 16 00, date 2012 10 d)  | d <- [2..4] ]