Weather Risk Advisory announced the launch of a new weather derivative pricing tool, WeatherValue, that is able to price trades with payoffs based on rainfall and snowfall – including dual-trigger precipitation-temperature trades – as well as the more traditional temperature-only deals. WeatherValue is particularly suitable for pricing the types of exotic weather derivatives used to mitigate specific end-user weather risks, such as in the agricultural or leisure sectors. The tool provides burn rate analysis and Monte Carlo methods for valuation and risk analysis of a wide range of weather derivatives, including those with complex underlyings such as accumulations, critical days, or even critical days based on accumulations. In addition to its pricing and risk capabilities, WeatherValue allows exotic structures to be communicated electronically to brokers and counterparties.
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