SERVING THE QUANTITATIVE FINANCE COMMUNITY

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finanzmaster
Topic Author
Posts: 112
Joined: March 11th, 2007, 1:04 pm

### Re: Gas Storage Fair Price | online Calculator

What's "speed"? (where are the docs)
speed is a in $dx = a(r - x_t) dt + \sigma dW_t$
The docs is QuantLib code itself

Where is the seasonality? (where are the tests that show how good the model fits reality)
The seasonality is distinctly to see on futures market but surprisingly there is virtually no seasonality in spot prices!
Recall that in 2016 the (monthly average) spot price in February was lower than in July!

Suppose the model said "the virtual storage with these parameters is worth $1mln". What would it take so that you would sell your house and buy that for$750k?
Of course no
You likely know that I am a big fan of a strict money management. So if I had 10 houses I would probably do but as the statistics of my trades clearly shows, I never trade all-in (moreover, my risk aversion is relatively high, I would classify myself as 1/3 Kelly investor).