Derivative pricing

Mark-to-market deals. Energy specific models.

Lacima’s derivative pricing solution calculates values and risk sensitivities for a wide range of commonly traded instruments, including a range of swap types, options, swaptions, Asians, caps, floors, collars, and spread options, taking into account the unique features of energy prices.

Fact Sheet


  • Value derivatives using industry recognised models
  • Account for mean reversion, jumps, and seasonality in energy and commodity prices
  • Derive hedge sensitivities to all the input parameters
  • Flexibility of a spreadsheet within an application environment providing all the security and controls for good risk management and auditability
  • No costly replacements of existing deal capture systems and databases
  • Full transparency with published analytics methods readily available to clients

* This solution can be delivered individually or combined seamlessly with other suite or solution(s) in any suite in Lacima Analytics, to create an answer tailored to your specific needs.