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Curve Generation is a process where new forward curve prices are calculated for routes based on broker quotes. You can generate a curve based on specified parameters and save the new curve to a Market.
On the Market Data form, complete the following fields:
- Markets: One or more source Markets. These should be of broker type only, not generated.
- Mode:
- Multi-market for Hub
- Single-market for Secondary
- Route: Source route
- Date: Date on which source prices are published
- After selecting the date, Broker Quotes are loaded. In Multi-market mode, the values are averaged if they overlap the same period.
- Under Curve Generation, enter the relevant parameters. Different options appear, depending on the Type:
- Hub: Future Rates generated from prices from the selected source Markets, which is information collected from brokers. The generated curve is the average of the multiple forward prices from these Markets.
- Secondary: Future Rates generated from the correlation between the Daily Spot Rates for the selected Route and the selected Ref Routes.
- Click
. Future Rates appear. - In the Name field, select a Market (of the Generated type) and click
. The Generated Market Curve can be used for exposure in the Trading Profile.