KyCurve - Market Price Forward Curves Software
KyCurve helps trading, structuring and risk management to construct monthly, daily, hourly and half-hourly price forward curves. The curves match with all the relevant price quotations in the market, so are arbitrage free. At the same time, the curves follow seasonal, daily and hourly historical shapes. The model relies on an advanced statistical methodology to find these shapes. End-of-day forward curves are widely used for marking-to-market all trading positions. During the day, hourly power and daily gas forward curves help to set the best price for all sales and trading opportunities, and to optimally dispatch the trading assets.
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Details:
- Contains smart algorithm to calculate expected forward curves
- End-of-day and live curves based on intraday orders and trades
- Applicable to power, gas and other commodity markets
- Available as a data service, and as software solution
Benefits
1. How do I get a good price forward curve?
A good forward curve includes seasonal patterns, deviates between weekdays and weekends, incorporates public holidays, and contains the right level of variation between the hours. KyCurve performs all these tasks automatically when new settlement data arrive. The KyCurve model can be used to construct detailed curves for power, gas and other commodity markets.
2. Price live contracts based on orders and trades
Much effort is often put into structuring end-of-day price curves. However, price volatility may be large during the day as well, requiring intra-day adjustments in order to correctly price contracts and assets during the day. KyCurve has an extra module for intraday reshaping of price curves based on live quotes from brokers and exchanges.
3. Use advanced model or get price curves as a service?
The KyCurve model can be delivered as a model in the KYOS Analytical Platform. This allows you to schedule calculations based on your own settings and data feeds. Alternatively, KYOS offers price forward curves for many European power and gas markets as a service via www.pricecurves.com. Depending on your preference, you can choose between both possibilities.
Features
KyCurve uses advanced statistics to make (i) an end-of-day forward curve and (ii) a live forward curve using information from live trades and orders.
KyCurve is fully integrated in the KYOS Analytical Platform. Automated data feeds with exchanges and data providers ensure you always have up-to-date prices, ready to be used for contract pricing, power plant dispatch or MtM calculations.
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