SWS is the pre-eminent enterprise weather derivative pricing and risk management
system comprising front office pricing tools, middle office risk management tools
and back office
SWS consists of many millions of lines of code representing over a decade of continuous
development. SWS provides a consistent and reliable framework for valuing weather
hedges, for managing a portfolio of weather risk and for the process flow of seeing
those transactions through to settlement. We have a philosophy of transparency (no
black boxes, full documentation of methods), openness (all SWS outputs are easily
exportable, all components re-usable in 3rd party systems, subject to licence) and
we understand the importance of auditability and resilience.
SWS is a client-server application comprising:
- A full database for warehousing historical weather data, weather data feeds, forecasts
and portfolio information
- The SWS server application
- Multiple user desktop applications.
SWS can be installed internally or can be hosted by us with each client having
a dedicated database.
SWS supports pricing based on numerical integration techniques as well as actuarial
burn. Daily rainfall and temperature simulation engines are also available. SWS
supports the highly complex and trades that are a feature of the OTC weather risk
market with a highly flexible tool that allows the user to generate compound indexes.
Compound indexes can comprise any number of weather variables, with any weights
and with an unlimited level of complexity (including even compounds on compounds
on compounds etc..)
SWS users can declare an unlimited number of pricing models combining different
detrending methods, weather data hierarchies, distributions, leap year adjustments
etc. All calculations available within SWS are available as a library for use in
other applications. SWS handles an unlimited number of weather risk portfolios.
Credit risk, expiry VaR and daily VaR calculations are supported. Delivery and running
of reports can be automatically scheduled.
SWS is an open system:
All data grids can be exported to a spreadsheet.
All SWS components can be used in external applications.
Weather data is easy to import and export.
SWS continues to evolve: in over a decade of development we have
made available six major releases and numerous minor releases to our clients. Version
8.0, released in April 2012 is the culmination of a major re-write of its code as
we move to the MS .NET framework.
Build Vs Buy Considerations
We believe SWS is a compelling alternative to the apparent attractions of developing
a system in-house. If you are considering internal development and your weather
system has not/will not accommodate these considerations, then SWS may be an expedient
alternative:
- Does your weather system handle hourly data?.. strips? ..compounds?.. multi period
deals?..multi triggers? ..basket
- When pricing a transaction can you exclude days of the week and specific dates?
- Does it support ultra exotic deals through a "back door" with those deals still
being fully incorporated in portfolio calculations?..
- Can you create a structure that handles non-consecutive hourly periods in a day?..
- Do you handle leap year adjustments robustly? (we offer six different methodologies)...
- Can your middle office users stress test a portfolio by overriding the front office
valuation models with one of their own choice?...
- Can you price a weather hedge using INDIVIDUAL members of an ensemble forecast to
capture the implicit convexity?...
- Does your weather database respect the different data qualities that are used and
which may be dramatically different even at the same weather station?..
- Would your audit trail breakdown if a weather data point already used in settling
a transaction is later revised by a national met service and subsequently updated
after settlement of a weather hedge?..
- Can you detrend the underlying weather data AND the final index?...
- Does your detrending method respect the differing trends in different times of year?
...
- Does your system automate the raising of trade confirmations and invoices?
- Do you have a permissioning structure that prevents, for example, accidental deletion
of booked trades by front office users or un-authorised changes to front office
models by back office users?...
- Do you handle credit risk reports..?
- Can you easily export weather data and historical forecasts for use in external
applications ?
- Can you run a weather hedge valuation or a retrospective portfolio valuation using
only the information that was available at that time?
- Can you retrieve a snapshot of the weather data that was used to settle a transaction
before and QC revisions to that data?
- Does your weather database respect the various different types of weather data on
which a transaction can be priced? SWS supports more than a dozen data types and
allows the user to price with different data hierarchies.
- Can your database support non weather variables including energy or commodity prices
?
- Does your weather database scale to 1000s of weather sites and handle daily, hourly
and sub hourly ..down to individual minutes ?
- Does your weather pricing system support weatherML for the purpose of sending and
receiving RFQs?
Documents
SWS Connect
SWSConnect is the web version of SWS combining pricing tools, integrated
weather data, CME closing price information and, optionally, integrated forecasts
and Recalibrated Data.
Contact Us
Regarding Speedwell Weather Systems please contact:
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Stephen Doherty (Europe)
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info@speedwellweather.com
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UK Office
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+44 (0)1582 465 569
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or Dr Michael Moreno (Europe)
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info@speedwellweather.com
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or David Whitehead (USA)
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info@speedwellweather.com
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U.S. Office
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+1 (0)843 737 4843
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