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Weather Derivative: Presented by
Weather Derivative: Presented by
Presented by
1.
2.
3.
Nitin Awasthi
Abhilash Gupta
Kumar Vivek
Weather Type
Risk
Agriculture
Rainfall, Temperature
Beverage companies
Temperature
Ski-resorts
Snowfall
Temperature
Temperature
Retailing
Energy
Municipalities
Period = Nov-Mar
Strike = 12 inches
Limit = 20 inches
Tick= $250,000
Limit =
$4,000,000
Price = $500,000
5.0
4.5
Unhedged Costs
4.0
3.5
Hedged Costs
3.0
2.5
9
12
Inches of Snow
15
18
Snowfall Distribution
Snowfall Probability Distribution
16%
Below the Strike
14%
12%
10%
8%
6%
4%
2%
0%
6
10
11
12
13
Inches of Snow
14
15
16
17
18
Inches of
Snow
6
7
8
9
10
11
12
13
14
15
16
17
18
With
Call
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
3,500,000
Without
Call
3,000,000
3,000,000
3,000,000
3,000,000
3,000,000
3,000,000
3,000,000
3,500,000
4,000,000
4,500,000
5,000,000
5,500,000
6,000,000
Average
12
3,500,000
3,465,000