To provide price indication for OTC electricity trading in Switzerlandfor next day delivery.
Collection of all physical electricity basis firm delivery traded daily at the 380 kV Laufenberg hub by all SWEP members up to 15:30 London time for next day delivery.
All deals with a maturity of 24 hours and are used for the SWEP calculation. Deals which do not include the 11:00-12:00 hour are also included.
The Swiss Electricity Price Index is the volume weighted average of the profile adjusted price for hour 12 of all N transactions having an impact on hour j=12 (11:00 – 12:00).
Calculation of profile adjusted price.
The profile-adjusted price for each hour j in a transaction i, PAPij, is the product of the virtual price VPi for that transaction and the smooth profile SPROFj for that hour. That is:
Calculation of virtual price, VP, for each transaction having an impact on hour 12 (11-12).
The virtual price VPi for each transaction i is the weighted-average price over the duration Ti0 toTi of the particular
transaction, corrected by the per unit profile for each hour j of the transaction. It is calculated as:
In such a way, the total turnover TOi of the transaction iremains unchanged:
SPROFj is the smooth price profile of the day under consideration; if the transaction i starts the day before (i.e. before the hour 00:00) or goes on the following day (i.e. after the hour 24:00) with regard to the day under consideration, the SPROFj of the day under consideration should be used all the same.
Calculation of the smooth profile:
The smooth price profile, SPROFj, is the average per unit profile for the given hour j, PUPj, over the past 20 working days d = -1 to -21. It is calculated as:
Kj stands for the number of days within the 20 working days showing a value for PUPj for the particular hour j. Kj £ 20.
Calculation of per unit profile:
Per unit profile, PUPj, for a given hour j across all transactions, is defined as the ratio of the price profile, PPj, to the daily average price. It is calculated as:
Calculation of price profile:
The price profile, PPj, or individual daily profile for a given hour j over m transactions is the maximum or the minimum price in this hour compared to the daily average price. It is equal to:
1. The arithmetic mean of the two extreme prices for this particular hour that fall on either side of the daily average price or,
2. The absolute maximum if all the prices reported for this particular hour across m transactions are above the average daily price or,
3. The absolute minimum if all the prices reported for this particular hour across m transactions are less than the average daily price.
Calculation of daily average prices:
Let Pij be the price per megawatt-hour, of electric energy scheduled for delivery during hour j as part of a transaction i that comprises a block of energy bought or sold for up to 24 hours. Let Hij be a discrete number that equals 1 whenever |Pij | is greater than zero, and equals 0 otherwise. The daily average price, AVP, of energy bought or sold for m such transactions can be calculated as:
Daily Between 1630 and 1800GMT by Dow Jones Newswires.
The published value reflects the until 16:00 hours (Swiss time) agreed spot deals for next day delivery.
Index results delivered to contributors via public internet.
5.) Data Submission.
All SWEP participants report the agreed deals for the next day with volumes and price to Dow Jones & Company.
All trades should be sent daily to firstname.lastname@example.org using the excel spreadsheet provided no later than 1530 London time.
Trades quoted in megawatt hours per EUR, DEM, BFR, FFR, NLG or CHF. All exchange rates calculated using the European Central Bank daily fixing.
Contributors are asked to indicate when trades have been executed with other Swep members.
No index will be calculated for Saturdays or Sundays.
No index will be published on Swiss holidays. Trades for delivery the day after the holiday must be submitted the day prior to the holiday.
(see table 1)
Dow Jones Energy Indexes
Dow Jones Indexes
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