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Ideally code in SAS, R, Python or Matlab for calculations involving counterparties holding positions in energy markets on multiple price curves, with a Monte-Carlo methodology or a simpified parametric approach?

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    $\begingroup$ You might want to give QuantLib a try. It has a Python interface and is able to price a lot of financial products. $\endgroup$ – Kermittfrog Apr 3 at 10:10
  • $\begingroup$ Do you have pricers already and are just looking for something to model the processes? Or are you looking to start from scratch? $\endgroup$ – mathtick Apr 3 at 12:06
  • $\begingroup$ Thank you Kermittfrog $\endgroup$ – AndrePoorman Apr 24 at 18:17
  • $\begingroup$ I have pricers mathtick andd eventually found some code in GitHub $\endgroup$ – AndrePoorman Apr 24 at 18:18

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