Extensive Model Coverage:
@ENERGY/Forward Curve is designed to calibrate FEA's single and multi-factor
models, which incorporate seasonality, mean-reversion and
jumps - salient features of energy prices including natural
gas and power. Multi-staged Calibration:
@ENERGY/Forward Curve uses historical spot and forward prices as the basis for calibration. Additionally, calibrations are carried out to further incorporate market conditions when they are specified in the forms of current trade prices and/or implied volatilities.
PCA and Simulations:
@ENERGY/Forward Curve performs seasonal Principal Component Analysis using historical forward prices, and provides simulation tools to visualize results.
Comprehensive Data Filtering:
@ENERGY/Forward Curve enables the user to filter data by specifying relevant seasonal and observation windows.
Power Peak Specification:
@ENERGY/Forward Curve allows the user to specify custom peak hours for separate calibrations of on-peak and off-peak prices.
Flexible Inputs
With @ENERGY/Forward Curve you can:
- Specify different time granularities for calibration.
- Specify different time steps for outputting forward/volatility curves.
- Specify different power peak hours depending on the days of the week and
holidays.
- Specify a subset of model parameters while calibrating the rest.
- Specify different input data file formats.
- Specify different formats for outputting simulated prices.
Comprehensive Results
With a single function call the use can obtain:
- A forward price and volatility curve for any specified time period.
- Price and volatility profiles for hour-of-the-day, day-of-the-week and different
months.
- Complete model parameter values: mean-reversion, drift, jump, etc.
- Detailed distribution measures: mean, variance, skewness, kurtosis, etc.
- Detailed PCA results: factor scores and factor loadings.
- Simulated price trajectories and histograms.
Compatibility
The output from @ENERGY/Forward Curve can be used directly as input to value multiple derivatives structures with FEA's suite of pricing models
View the @ENERGY/Forward Curve product profile
.