Optimization

Finding the best moves.

Allegro helps customers become more competitive by providing clearer, more accurate views of forward market factors in real time — critical to assessing risks and opportunities in complex markets under varying conditions and constraints.

Allegro solutions improve customers’ profitability and strategic flexibility by providing the most accurate calculation of forward curves — plus quick, powerful simulation tools that let users play “what if” with key variables in real time to better understand market dynamics and discover optimal dispositions tailored to user-defined objectives and constraints.

Allegro’s industry-leading applications quickly propel users through calculation of forward curves, volatilities, correlations, valuation of numerous alternative dispositions, and comparative analysis to determine the optimal disposition strategy for even the most complex prospective transactions.

Forward curves
Allegro automatically calculates forward curves based on current prices for future delivery, basis differentials such as netback and net forward, interpolation and extrapolation, historical simulation, and mean reversion rates.

To simultaneously analyze multiple forward curves, Allegro also calculates linear, nonlinear and step functions, scope of historical price behavior, and deviation of forward curve assumptions.

Volatilities and correlations
To compete effectively, users need to know how forward curves fit into a complex market context. Allegro makes it easy by calculating volatilities and correlations. Users can readily examine volatility indexes in user-modified logical groupings, explore historical volatility and implied volatility, and study associated smiles and skews. Users can also take into account historical correlations plus variables such as seasonal, liquidity and facility construction effects.

Valuing dispositions
Any position — long or short — can have a disposition involving liquidation, transport, storage, processing or refining, and/or exchange. Further, each market participant typically works within physical, policy, credit and capital constraints. These factors together present a rich but extremely complex matrix of decision points from which to determine an optimal path.

Valuing complex dispositions
Allegro's automated tools can value each potential disposition, applying stochastic processes to multiple market factors. For any disposition alternative, users can immediately determine absolute value (mark-to-market of the closed position) and incremental value (any change in mark-to-market derived from additional positions).

Allegro automatically ranks the resulting valuations, revealing the disposition scenario offering the greatest prospective incremental value within the user's constraints.