Improved shape TTF forward curve on pricecurves service

18 March 2016

TTF forward curve as a service

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.

Comparison old and new method

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:

  • ICE indicates the summer-winter spread will increase, whereas the KYOS algorithm shows that summer-winter spreads will remain at todays’ levels.
  • Illogical drops and spikes are removed. For instance the drop in April 2018, as quoted by ICE, is replaced with a smoother pattern
TTF curve

Curve building software

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.

More information?

For more information about the TTF forward curve or curve builder software, please contact KYOS.

Contact KYOS

KYOS
Nieuwe Gracht 49
2011 ND Haarlem
The Netherlands

E-mail: info@kyos.com
Tel: +31 (0)23 551 02 21

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