Pricing Electricity Flexible-Forward Contracts Considering Duties and Tributes

摘要

This work examines the impacts of duties and tributes on the profit of flexible-forward contracts. Such a tool is suitable for the Brazilian electricity market as consequence of the possibility of new negotiation forms that arise due to its deregulation. In Brazil, the Settlement Price for Differences (PLD) is calculated with optimization models on the basis of the hydrology behavior and its volatility is big. Thus, flexible-forward contracts have been often used in the Brazilian electricity market. This contract has an horizon, total volume, price and interval of discretization previously established by its parts. Furthermore, some volume flexibility is settled through bound for the energy delivered in each interval of discretization. However, as the tributes for energy contracts are significant, the liquid benefit of the contract can be severely affected. Nowadays, in Brazil, duties and tributes represent something around 30% to 40% of the contract revenue. This work develops a new approach for pricing flexible-forward contracts using dynamic programming and searches efficient contract policies in a multicriteria framework: maximizing revenue and managing risk.