About the Speedwell Weather System, SWS

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 to produce a tool that 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.

In 2012 we released version 8.0 of SWS. This was the culmination of over two years’ of development as the millions of lines of code in SWS were converted to C# and the .NET framework. Vs 8.0 lays the foundations needed for continued evolution over the coming years.

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.A full permissioning architecture provides selective access rights to different users.

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....

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 eight major releases and numerous minor releases to our clients. We are currently completing a major re-write of all 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? ..baskets?
• When pricing a transaction can you exclude days of the week and specific dates?...
• Does it support ultra exotic deals such as "quantos" through a "back door" with those deals still being fully incorporated in portfolio calculations?..
  
• Can you create a structure that handles risk on specific 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 at 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 1000's 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?
• Does your system support daily VaR calculations at the portfolio level?
• Does your system provide the data outputs required for regulatory reporting?

Available Documents:

An Overview of Speedwell Weather System
SWS Back Office Process Flow
SWS Weather Data Format
SWS Index Model

SWS Forecast Model: please contact us for this document
SWS Pricing Methods Used: please contact us for this document
SWS Supporting Complex Deals: please contact us for this document

SWS Technical Requirements
SWS FAQs
WS Hosted
SWS Getting Started
SWS User Help (chm): please contact us for this document
SWS Installation Guide: please contact us for this document
SWS Application Support: configuring SWS Users: : please contact us for this document
SWS Back and Middle office: we have extensive documentation about back and middle office features available on request.

SWSConnect. SWSConnect is a web-delivered weather derivative pricing tool based on the same underlying components as SWS. Ideal for pricing CME weather derivative contracts. Click here for information in English. Click here for information in German.