Fuel offering and purchase management system

• US 8,484,124 B2
• Filed: 12/28/2011
• Issued: 07/09/2013
• 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:
  US13/338,414
• Publication Number:
  US 20120284161A1
• Time in Patent Office: 559 Days
• Field of Search: 705/37
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/0283 Price estimation or determination
• 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

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. Ultimately, 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 employs a redemption condition based on a retail fuel pump price metric to establish the pricing of fuel offerings.

Claims

1. A computer processor-implemented method to provide commodity offerings, comprising:

setting at least one commodity offering term for a commodity offering;

determining a price matrix including at least two commodity offering pricing values based on the at least one commodity offering term and at least one commodity offering pricing model for the commodity offering;

providing the price matrix, including at least two associations between strike prices and premiums, for selection by a customer;

determining whether the price matrix is satisfactory and iteratively re-processing the commodity offering term and the price matrix until at least one of the associations has been accepted; and

providing payment for some portion of a commodity purchase for an exercised commodity offering, wherein the commodity purchase is based on one of the associations of the price matrix and wherein the strike price of the one association is less than a local retail commodity price.

2. The method of claim 1, wherein the commodity offering is for a fuel.

3. The method of claim 2, wherein the fuel is a vehicle fuel.

4. The method of claim 2, wherein the fuel is a heating fuel.

5. The method of claim 2, wherein the local retail commodity price is a fuel pump price.

6. The method of claim 5, wherein the fuel pump price is paid by the customer.

7. The method of claim 1, wherein the local retail commodity price is a commodity price charged by a retail commodity dealer at which the commodity offering is exercised.

8. The method of claim 1, wherein at least one of the strike prices is pre-selected and the associated premium is determined based at least in part on the at least one strike price.

9. The method of claim 1, wherein at least one of the premiums is pre-selected and the associated strike price is determined based at least in part on the premium.

10. The method of claim 1, wherein the commodity offering pricing model includes at least one commodity market variable.

11. The method of claim 10, wherein the at least one commodity market variable comprises at least one retail commodity price.

12. The method of claim 10, wherein the at least one commodity market variable includes any of:

wholesale gasoline over-the-counter options market data, wholesale gasoline over-the-counter forward market and futures market data, retail gasoline spot prices, wholesale gasoline implied volatilities, a wholesale gasoline forward curve, and a spread of retail spot price over wholesale spot price.

13. The method of claim 1, wherein the determining whether the price matrix is satisfactory, further, comprises querying a market information database for information to be used as a factor in determining whether the price matrix is satisfactory.

14. The method of claim 1, wherein the determining whether the price matrix is satisfactory, further, comprises querying a customer marketing database for information to be used as a factor in determining whether the price matrix is satisfactory.

15. The method of claim 14, wherein the commodity offering term is adjusted based on the determination of whether the price matrix is satisfactory.

16. The method of claim 14, wherein the commodity offering pricing model is adjusted based on the determination of whether the price matrix is satisfactory.

17. The method of claim 1, wherein the determining whether the price matrix is satisfactory, further, comprises querying a historical usage database for information to be used as a factor in determining whether the price matrix is satisfactory.

18. The method of claim 17, wherein the commodity offering term is adjusted based on the determination of whether the price matrix is satisfactory.

19. The method of claim 17, wherein the commodity offering pricing model is adjusted based on the determination of whether the price matrix is satisfactory.

20. The method of claim 1, wherein the commodity offering term includes any of:

the strike price, the premium, a tenor, and a commodity type.

21. The method of claim 1, wherein the commodity offering pricing model comprises a commodity volatility model described by a stochastic differential equation.

22. The method of claim 21, wherein the commodity volatility model described by the stochastic differential equation is manifested in a Monte Carlo simulation.

23. The method of claim 21, wherein the commodity volatility model described by the stochastic differential equation is manifested in a grid-pricing scheme.

24. The method of claim 21, wherein the commodity volatility model described by the stochastic differential equation is manifested in at least one analytic formula.

25. The method of claim 1, wherein the setting at least one commodity offering term is based on a customer specification.

26. The method of claim 25, wherein the customer specification includes a desired strike price.

27. The method of claim 25, wherein the customer specification includes a desired premium.

28. The method of claim 25, wherein the customer specification includes a tenor.

29. The method of claim 25, wherein the customer specification includes a commodity type.

30. The method of claim 25, wherein the customer specification includes at least one geographic zone.

31. The method of claim 30, wherein the customer specification includes at least one primary geographic zone.

32. The method of claim 31, wherein the customer specification includes at least one peripheral geographic zone.

33. The method of claim 1, wherein the selection by a customer comprises customer payment of one of the premiums and the associated strike price for a specified commodity quantity.

34. The method of claim 33, wherein payment for some portion of a commodity purchase for an exercised commodity offering comprises payment to a commodity retailer for the commodity purchase on which the commodity offering has been exercised.

35. The method of claim 1, wherein the selection by a customer comprises customer payment of one of the premiums but not the associated strike price for a specified commodity quantity.

36. The method of claim 35, wherein payment for some portion of a commodity purchase for an exercised commodity offering comprises payment to a customer based on a commodity purchase size and a difference between the associated strike price and the local retail commodity price.

37. The method of claim 1, wherein the payment for some portion of a commodity purchase for an exercised commodity offering is limited to a total commodity quantity specified by the commodity offering.

38. The method of claim 1, further comprising:

recording the customer selection in a customer selection database; and

executing a hedge based on entries in the customer selection database.

39. The method of claim 38, further comprising:

aggregating entries in the customer selection database into at least one similarity class prior to executing the hedge; and

executing the hedge based on similarity class.

40. The method of claim 39, wherein aggregating entries is based on the commodity offering term.

41. The method of claim 39, wherein aggregating entries is based on commodity offering pricing.

42. The method of claim 39, wherein aggregating entries is based on customer characteristics.

43. The method of claim 39, wherein aggregating entries is based on risk considerations.

44. The method of claim 38, wherein the hedge includes purchase of at least one forward contract.

45. The method of claim 1, wherein the commodity offering pricing model is configured to output at least one price sensitivity value.

46. The method of claim 45, further comprising:

executing a hedge based at least in part on the at least one price sensitivity value.

47. A system to provide commodity offerings, comprising:

means for setting at least one commodity offering term for a commodity offering;

means for determining a price matrix including at least two commodity offering pricing values based on the at least one commodity offering term and at least one commodity offering pricing model for the commodity offering;

means for providing the price matrix, including at least two associations between strike prices and premiums, for selection by a customer;

means for determining whether the price matrix is satisfactory and iteratively re-processing the commodity offering term and the price matrix until at least one of the associations has been accepted; and

means for providing payment for some portion of a commodity purchase for an exercised commodity offering, wherein the commodity purchase is based on one of the associations of the price matrix and wherein the strike price of the one association is less than a local retail commodity price.

48. A non-transitory medium readable by a computer processor to provide commodity offerings, comprising:

computer processor executable instructions that, upon execution by the computer processor, direct the computer processor to;

set at least one commodity offering term for a commodity offering;

determine a price matrix including at least two commodity offering pricing values based on the at least one commodity offering term and at least one commodity offering pricing model for the commodity offering;

provide the price matrix, including at least two associations between strike prices and premiums, for selection by a customer;

determine whether the price matrix is satisfactory and iteratively re-process the commodity offering term and the price matrix until at least one of the associations has been accepted; and

provide payment for some portion of a commodity purchase for an exercised commodity offering, wherein the commodity purchase is based on one of the associations of the price matrix and the strike price of the one association is less than a local retail commodity price.

49. An apparatus to provide commodity offerings, comprising:

a memory; and

a processor disposed in communication with said memory, and configured to execute a plurality of computer executable processing instructions stored in the memory to;

set at least one commodity offering term for a commodity offering;

determine a price matrix including at least two commodity offering pricing values based on the at least one commodity offering term and at least one commodity offering pricing model for the commodity offering;

provide the price matrix including at least two associations between strike prices and premiums, for selection by a customer;

determine whether the price matrix is satisfactory and iteratively re-process the commodity offering term and the price matrix until one of the associations has been accepted; and

provide payment for some portion of a commodity purchase for an exercised commodity offering, wherein the commodity purchase is based on one of the associations of the price matrix and the strike price of the one association is less than a local retail commodity price.