KYOS is happy to announce it improved the shaping of the TTF forward curve. The TTF forward curve is made available on www.pricecurves.com. On subscription basis, the price forward curve (PFC) is distributed on daily basis via e-mail, FTP and webservice.
With the improved method, only liquid products are included in the construction of the forward curve. A key element in the methodology to construct a daily price forward curve is that the forward curve is arbitrage free. This means the forward curve has to be arbitrage free to liquid products only.
The impact of the new and the old methodology on todays’ forward curve is plotted below. The blue line indicates the forward curve based on all products. The black line is the forward curve which is based on liquid products only. Note that the average price of both curves is identical.
Until 2018, there is little difference between the 2 methods. From 2018 onwards, where monthly products are not traded, the differences between the methods become clearly visible:
The TTF forward curve is created by KyCurve software. This curve builder constructs forward curves with the right shaping factors, arbitrage-free to all available market prices (i.e. market-neutral). More information can be found on the product page.
For more information about the TTF forward curve or curve builder software, please contact KYOS.