Fuel offering and purchase management system

• US 8,478,684 B2
• Filed: 12/28/2011
• Issued: 07/02/2013
• Est. Priority Date: 04/09/2007
• Status: Active Grant

• Current Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Original Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Inventors: Kirch, Michael, Sanghvi, Saurabh, Sharfman, Daniel
• Primary Examiner(s): Lemieux, Jessica
• Application Number:
  US13/338,446
• Publication Number:
  US 20120278133A1
• Time in Patent Office: 552 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0206 Price or cost determination based on market factors
• CPC Class Codes: G06Q 30/06 Buying, selling or leasing transactions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 50/06 Energy or water supply

Abstract

The present disclosure is directed to facilitating pricing, sales and delivery of a commodity. In one embodiment, a Fuel Offer Generator facilitates the purchase and management of fuel offerings. The Fuel Offer Generator allows Customers interested in securing fuel to obtain an offer for fuel at lock-in prices for various tenors. Fuel Customers may later exercise the fuel offers so their fuel costs are locked-in at desired levels The Fuel Offer Generator may generate hedges to counteract fuel related risks stemming from fuel offer purchases. A customer that purchases a fuel offering can exercise their fuel offering order at a specified price and redeem any difference between the market price for their purchased fuel and the price specified in their fuel offering order. The Fuel Offer Generator determines which metrics are relevant to pricing the fuel offering and then employs those determined metrics to establish the pricing of fuel offerings.

Claims

1. A computer processor-implemented method to generate fuel offerings for selection by customers, comprising:

setting a strike price for a fuel offering, wherein the strike price is arbitrarily set;

determining, by a computer processor, a premium price associated with the strike price for the fuel offering based on the strike price and pricing input factors;

monitoring, using the computer processor, customer purchases of the fuel offering that specify at least a quantity of fuel and a tenor;

monitoring, using the computer processor, customer exercises of the purchases during the specified tenor;

determining a service markup price associated with the premium price for the fuel offering;

storing, using the computer processor, information regarding the monitored purchases, the monitored exercises, and locations of the monitored exercises;

adjusting, by the computer processor, at least one of the strike price and the premium price based on the stored information and the determined service markup price; and

providing the fuel offering at an offer price comprised of the adjusted at least one of the strike price and the premium price for selection by the customers.

2. The method of claim 1 further comprising executing a hedge based on the stored information.

3. The method of claim 2 wherein the hedge employs a forward contract.

4. The method of claim 2 further comprising determining a sensitivity to the offer price.

5. The method of claim 4 wherein the hedge is further based on the determined sensitivity.

6. The method of claim 1 further comprising determining if the strike price and the premium price are satisfactory by querying a market information database for information to be used as a factor in determining whether the strike price and the premium price are satisfactory.

7. The method of claim 1 further comprising determining if the strike price and the premium price are satisfactory by querying a customer marketing database for information to be used as a factor in determining whether the strike price and the premium price are satisfactory.

8. The method of claim 1 further comprising determining if the strike price and the premium price are satisfactory by querying a historical usage database for information to be used as a factor in determining whether the strike price and the premium price are satisfactory.

9. The method of claim 1 wherein the pricing input factors comprise one or more of:

fuel market information, historical analysis, offering parameters, observable parameters, and non-observable parameters.

10. The method of claim 9 wherein the fuel market information includes one or more of:

wholesale gasoline over-the-counter options market information, wholesale gasoline over-the-counter forward market information, wholesale gasoline over-the-counter futures market information, and retail gasoline spot prices.

11. The method of claim 9 wherein the historical analysis includes one or more of:

historical retail gasoline spot prices, historical wholesale gasoline spot prices, and correlations between the historical retail gasoline spot prices and the historical wholesale gasoline spot prices.

12. The method of claim 9 wherein the observable parameters include one or more of:

wholesale gasoline implied volatilities, a wholesale gasoline forward curve, a spread of retail spot price over wholesale spot price.

13. The method of claim 9 wherein the non-observable parameters include one or more of:

retail gasoline implied volatilities, wholesale gasoline mean reversion parameters, retail gasoline mean reversion parameters, and a retail gasoline forward curve.

14. The method of claim 1 wherein determining the premium price based on the pricing input factors includes:

employing the pricing input factors in a commodity volatility model to generate a volatility solution; and

determining the premium price using the volatility solution as an input into a pricing simulation.

15. The method of claim 14 wherein the commodity volatility model is based on a stochastic differential equation.

16. The method of claim 14 wherein the pricing simulation is based on a Monte Carlo simulation.

17. The method of claim 1 wherein the fuel offering is provided in a selected geographical region based on the stored information.

18. The method of claim 1 further comprising providing a reimbursement in response to at least one of the customer exercises.

19. A non-transitory computer-readable medium comprising instructions that, when executed by one or more computer processors, direct the one or more computer processors to:

set a strike price for a fuel offering, wherein the strike price is arbitrarily set;

determine a premium price associated with the strike price for the fuel offering based on the strike price and pricing input factors;

monitor customer purchases of the fuel offering that specify at least a quantity of fuel and a tenor;

monitor customer exercises of the purchases during the specified tenor;

determine a service markup price associated with the premium price for the fuel offering;

store information regarding the monitored purchases, the monitored exercises, and locations of the monitored exercises;

adjust at least one of the strike price and the premium price based on the stored information and the determined service markup price; and

provide the fuel offering at an offer price comprised of the adjusted at least one of the strike price and the premium price for selection by customers.

20. A system for providing commodity offerings, comprising:

a memory including computer processor executable instructions;

a database; and

a computer processor configured to retrieve the instructions from the memory and execute the instructions to;

set a strike price for a fuel offering, wherein the strike price is arbitrarily set;

determine a premium price associated with the strike price for the fuel offering based on the strike price and pricing input factors;

monitor customer purchases of the fuel offering that specify at least a quantity of fuel and a tenor;

monitor customer exercises of the purchases during the specified tenor;

determine a service markup price associated with the premium price for the fuel offering;

store information regarding the monitored purchases, the monitored exercises, and locations of the monitored exercises in the database;

adjust at least one of the strike price and the premium price based on the stored information and the determined service markup price; and

provide the fuel offering at an offer price comprised of the adjusted at least one of the strike price and the premium price for selection by customers.