IMOS - Curve Generation

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.

1. In the Trading module center , under Data, click Market Data.

2. 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

3. After selecting the date, Broker Quotes are loaded. In Multi-market mode, the values are averaged if they overlap the same period.

4. 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.
     
     

     Open

     

      

   • Secondary: Future Rates generated from the correlation between the Daily Spot Rates for the selected Route and the selected Ref Routes.
     
     

     Open

     

      

5. Click . Future Rates appear.
    

6. 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.