PFE

This is a PFE calculator with an interactive user interface where users can input one or more of three types of positions:

1. Linear power or gas positions
2. Vanilla power or gas positions
3. Spread option positions

Based on the inputs, the calculator uses the appropriate linear or derivatives pricer and simulates the underlying price distributions based on the appropriate volatilities and correlations derived from upstream forward data. The user gets a PFE chart and corresponding values in table format.