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Speedwell Weather System

Speedwell Weather System. Weather Data and Forecasts Support Summary. The Open Weather Derivative and Risk Management System. Speedwell Weather System. SWS is an open system for pricing weather derivatives, managing risk, managing the back office

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Speedwell Weather System

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  1. Speedwell Weather System Weather Data and Forecasts Support Summary The Open Weather Derivative and Risk Management System

  2. Speedwell Weather System SWS is an open system for pricing weather derivatives, managing risk, managing the back office process and assessing client weather exposure. SWS incorporates full and seamless integration of weather data from multiple providers. SWS covers the need of both secondary market traders and exotic insurance type transactions. This presentation describes some of the weather data and forecast support features. For other information please see list on final slide.

  3. Weather Data Main Features SWS is open to multiple data providers and allows fully automated download to the in-house SWS database from numerous leading global data and forecast providers. Weather data is persisted respecting the numerous different data quality types It is easy to import of deterministic and ensemble forecasts. Ensemble forecasts of any number of members of any length (eg 51 member ECMWF, 9 member GFS, 10 day, monthly, seasonal types all supported) Full audit trail showing weather data changes (eg revised data points) All historic data and forecasts are persisted. SWS offers configurable automated data quality control testing and reporting functions for independent weather data integrity analysis Data importation can be automated to run on an automatic schedule with no user intervention SWS can handle a very large volume of data. We have users running from 10 to over 10,000 sites of data. Flexible data structure allows users to declare new data types.         

  4. Weather Data Handling Tools Weather data comparator: allows easy comparison of two data sets to detect differences Missing data report: run to generate a quick summary highlighting where data is incomplete Data verification tools: automatically checks weather data for plausibility reporting on points that fail user-configurable criteria for acceptability (e.g. divergence from average) Automated WRMA gap filling utility SWS also offers a range of sophisticated tools to assist in the process of analysing the relationship between weather and any time series.     

  5. Speedwell Weather System Forecast Visualisation in SWS View multi-member ensemble forecasts as path plots View multi-member ensemble forecasts as box-plots with average and N-years’ climatology overlaid Compare successive forecasts sequentially. This can also be done for forecasts issued on a given day by multiple suppliers Seasonal and monthly ensemble forecasts are also supported. Shown here the average and 10 year climatology.

  6. Weather and Forecasts Data Management

  7. Speedwell Weather System Automatic Weather Data download Although SWS is open to any data provider, data integration has been taken further with AER, AIR, Custom Weather, EarthSat, Metra and SMHI and weatherXchange. Historical weather data and real time updates can be automatically accessed from these providers. Forecast data may also be accessed in the same way. The process is shown below. It can be fully automated to retrieve data on a regular pre-set interval. 1. Connect to site and choose files 2. All the files in the list can be downloaded by using the ‘Download All’ option. Data can also be downloaded from multiple providers 3. Confirm download to SWS Database or select the option for SWS to import the data automatically 5. Changed data points can be reported 4. SWS automatically updates data and creates new sites if necessary. Time of update recorded

  8. Speedwell Weather System Weather Data Importation Weather data from any source can also be manually imported into SWS’ own database. A full audit trail is provided. Standard CSV Importer Simple Copy and Paste from Excel File directory structure is listed here Data can be imported by setting the filter with the button at the top of the page and then pressing the ‘Import Grid to Database’ button Simply paste the data (either using the keyboard shortcut or the ‘Paste Values’ button) of dates and temperature data into the grid, click the ‘Set Station’ button and click the ‘Import Grid to DB’ button. Various default Import options can be set via the ‘Options’ button

  9. Speedwell Weather System Weather Data Auditing SWS offers numerous data auditing options including the Data Auditor, Weather Data Reports, Dataset Comparisons, Data Viewer, Data Update Displayer and NOAA List Displayer. QC Reports can be generated to perform tests on weather data and flag any data that fail (possible actions are circled in red). The flagged data are grouped together in a report and saved to the database. A QC report can be designed to match exactly what is wanted by modifying the configurable settings to use. Reports can be configured to run automatically at a specific time or straight away. The Data Auditor can be used to test the plausibility of data. Potentially erroneous data points are reported for investigation. Missing data points and daily information are also provided

  10. Speedwell Weather System Enhanced Weather Data Management – Advanced Features SWS supports many advanced weather data management functions for the advanced user. Data sets can be exported to csv files, deleted from the database and comprehensive data reports on the whole database can be compiled There are numerous other tools, such as this facility that permits the deletion of old data, error messages, unused options etc… that are designed for day to day database maintenance

  11. Speedwell Weather System Forecast Integration in Weather Derivative Pricing Portfolio Forecast Impact Analysis Pricing Forecast Impact Analysis Ensemble forecasts (unlimited number of members) and deterministic forecasts from multiple suppliers are fully integrated into pricing and risk management in SWS. Prices and portfolio valuations can be seen with and without forecasts. The forecast from any provider may be used. In the case of ensemble forecasts, the average, median, worst or best case can be selected. A structure can also be priced SEPARATELY using EVERY single ensemble to correctly capture outliers (important with convex structures such as options, critical day structures, vanillas in the shoulder months) Shown above are two tools that are used to examine the marginal impact of forecasts on pricing an individual option or portfolio.

  12. Speedwell Weather System SWS Help-File extract showing data providers which are pre- integrated with SWS for automatic download. SWS is an open system. We would be pleased to integrate other data formats for other providers. Please note that it is also easy to import data manually on an ad-hoc basis SWS Features Presentation Vs6 0306_5

  13. Speedwell Weather System The following other documents are available on request: SWS Features Summary (abridged, Word) SWS Features Summary (full version, Word) SWS Features Summary (PowerPoint) SWS Weather Data and Forecast Support (PowerPoint) SWS Forecast Model SWS Back office Features (PowerPoint) SWS Weather Data and Forecast support (PowerPoint) SWS Secondary Market Features (PowerPoint) SWS FAQs SWS Technical Requirements SWS Network Architecture SWS List of weather data and forecast providers SWS Getting Started document SWS User document (chm) SWS Calculation Methods Used SWS Notes on Bilinear filtering SWS Data filling methodologies SWS Index Simulations Overview SWS Smile Curve Extraction SWS Weather Derivative Object Architecture (PowerPoint) SWS New Features Introduction (for all versions from 2 to 6.3) • • • • • • • • • • • • • • • • • • • • •

  14. Contact Us Regarding software, weather risk placement and consultancy services please see www.SpeedwellWeather.com or contact: Stephen Doherty Dr Michael Moreno David Whitehead (U.S) Telephone: UK office: US office: Address UK: Address USA: stephen.doherty@SpeedwellWeather.com michael.moreno@SpeedwellWeather.com david.whitehead@SpeedwellWeather.com +44 (0) 1582 461 569 +1 (0) 703 868 6083 Mardall House, Vaughan Rd, Harpenden, Herts, AL5 4HU 101 N Columbus Street, Second Floor, Alexandria VA 22314 USA Regarding world-wide weather data and forecast matters please see www.SpeedwellWeather.com or contact: Phil Hayes David Whitehead (U.S) Telephone: UK office: US office: phil.hayes@SpeedwellWeather.com david.whitehead@SpeedwellWeather.com +44 (0) 1582 461 551 +1 (0) 703 535 8800 Speedwell Weather Derivatives Limited is authorised and regulated by the Financial Services Authority. Registered Offices Mardall House, 9-11 Vaughan Road, Harpenden, Herts AL5 4HU, UK. Company No 3790989.

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