METHOD AND SYSTEM FOR CREATING WIND INDEX VALUES SUPPORTING THE SETTLEMENT OF RISK TRANSFER AND DERIVATIVE CONTRACTS

摘要

A system and method for creating index values supporting the settlement of wind risk transfer contracts is disclosed. The method includes calculating a first power value as a function of historical wind speeds and a power curve associated with the facility. A second power value is calculated based on the power curve and measured wind speed associated with the facility during a given period. The first and second power values are compared to yield an index. In one embodiment of the invention, an offset is added to the historical wind speed data to compensate for differences between the expected wind speeds at the facility and the region for which the historical data is available. In a further embodiment of the invention, a gain is multiplied by the sum of the offset and historical wind speed data to further compensate for differences between the local and regional wind speeds. In another aspect of the invention, a risk transfer vehicle is disclosed. The risk transfer vehicle includes a risk transfer contract having a strike price, a contract period, and a structure (such as a put option or swap). The payout for the risk transfer contract is determined based on the strike price, the structure and the wind power index for the contract period. The wind power index being a function of first and second power generation values, each of which are based on a power curve and historical and measured wind speeds, respectively.