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| ASSUMPTIONS & MODEL INPUTS | |||||
| All blue values are user-editable inputs | |||||
| GENERAL MARKET PARAMETERS | Value | Unit | Notes | ||
| Market Region | Nordpool NO2 | Nordic power area (change as needed: SE3, FI, DK1, etc.) | |||
| Base Currency | EUR | Euro-denominated market | |||
| Price Unit | EUR/MWh | Standard European power price unit | |||
| Historical Start Year | 2021 | Year | Start of historical data window | ||
| Historical End Year | 2025 | Year | End of historical data window | ||
| Forward Start Year | 2026 | Year | Start of forward curve projection | ||
| Forward End Year | 2030 | Year | End of forward curve projection | ||
| Peak Hours Definition | 08:00-20:00 Mon-Fri | Standard European peak hours definition | |||
| Trading Days per Year | 252 | Days | Standard for annualization of volatility | ||
| SPOT PRICE PARAMETERS | Value | Unit | Notes | ||
| Current Spot Price (Base) | 48.5 | EUR/MWh | Latest available base load spot price | ||
| Current Spot Price (Peak) | 56.2 | EUR/MWh | Latest peak load spot price | ||
| Current Spot Price (Off-Peak) | 38.1 | EUR/MWh | Latest off-peak spot price | ||
| Peak/Off-Peak Ratio | 1.48x | x | Calculated from peak and off-peak inputs | ||
| Long-run Equilibrium Price (Base) | 52.0 | EUR/MWh | Mean-reversion target for base load | ||
| Mean Reversion Speed | 0.15 | Annual rate of mean reversion (kappa) | |||
| Seasonal Amplitude | 12.0 | EUR/MWh | Amplitude of seasonal price swing | ||
| Seasonal Peak Month | 1 | Month # | Month with highest seasonal component (1=Jan) | ||
| VOLATILITY & SIMULATION PARAMETERS | Value | Unit | Notes | ||
| Historical Volatility (Annualized, Base) | 35.0% | % | Annualized std dev of log returns (base load) | ||
| Historical Volatility (Annualized, Peak) | 42.0% | % | Annualized std dev of log returns (peak) | ||
| Historical Volatility (Annualized, Off-Peak) | 38.0% | % | Annualized std dev of log returns (off-peak) | ||
| GARCH(1,1) Omega | 0.00005 | GARCH constant term | |||
| GARCH(1,1) Alpha | 0.08 | ARCH coefficient (shock persistence) | |||
| GARCH(1,1) Beta | 0.88 | GARCH coefficient (volatility persistence) | |||
| Alpha + Beta Check | 0.96 | Must be < 1 for stationarity (see Error Checks) | |||
| Number of Simulation Paths | 1,000 | Paths | Monte Carlo paths (increase for precision; 1000-10000 typical) | ||
| Simulation Time Steps | 60 | Months | Number of monthly steps (= Forward End Year - Forward Start Year) x 12 | ||
| Random Seed | 42 | For reproducibility of Monte Carlo simulation | |||
| FORWARD CURVE PARAMETERS | Value | Unit | Notes | ||
| Year 1 Forward (Cal-26 Base) | 50.0 | EUR/MWh | Calendar 2026 baseload forward quote | ||
| Year 2 Forward (Cal-27 Base) | 52.5 | EUR/MWh | Calendar 2027 baseload forward quote | ||
| Year 3 Forward (Cal-28 Base) | 54.0 | EUR/MWh | Calendar 2028 baseload forward quote | ||
| Year 4 Forward (Cal-29 Base) | 55.0 | EUR/MWh | Calendar 2029 baseload forward quote | ||
| Year 5 Forward (Cal-30 Base) | 56.0 | EUR/MWh | Calendar 2030 baseload forward quote | ||
| Peak Premium Assumption | 18.0% | % | % premium of peak over baseload forward | ||
| Off-Peak Discount Assumption | 20.0% | % | % discount of off-peak below baseload forward | ||
| Interpolation Method | Cubic Spline | Method for monthly interpolation of annual forwards | |||
| SCENARIO PARAMETERS | Value | Unit | Notes | ||
| Base Case Probability | 50.0% | % | Probability weight for base scenario | ||
| Bull Case Probability | 20.0% | % | Probability weight for bull scenario | ||
| Bear Case Probability | 20.0% | % | Probability weight for bear scenario | ||
| Stress Case Probability | 10.0% | % | Probability weight for extreme stress scenario | ||
| Probability Sum Check | 100.0% | Must equal 100% (see Error Checks) | |||
| Bull Price Multiplier | 1.25x | x | Multiplier applied to forward curve for bull case | ||
| Bear Price Multiplier | 0.75x | x | Multiplier applied to forward curve for bear case | ||
| Stress Price Multiplier | 1.80x | x | Multiplier for extreme stress (e.g., supply crisis) | ||
| Note: All sample values are placeholders. Replace with actual market data from authorized data providers before use. | |||||