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We managed to partially offset the impacts of a record-setting warm winter by managing expenses and by also recording gains from weather derivative contracts that we'd entered as a hedge against variations in heating degree days, such as occurred this past winter," explained Paul J. The weather derivative contracts covered by the weather portfolio swap include call options, put options and swaps, and are based on heating degree days, cooling degree days and average temperature degree days. The new version represents a major advancement in functionality, including daily temperature data and complete mark-to-model analytical capabilities for dynamically tracking the risk to individual weather derivative contracts and portfolios. |
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