@ENERGY / Forward Curve
@ENERGY/Forward Curve is an Excel-based product that can be used to develop forward curves, calibrate price levels, spot local volatilities, mean reversion rates and perform multi-factor Principal Components Analysis ("PCA"). Forward Curve provides coverage for the most important price process models used in energy analytic functions, and it allows users to develop forward curves and calibrate model parameters that can be used with FEA's derivatives valuation products, as well as other commercial and proprietary functions. Forward Curve comes with well-documented Excel workbook templates that are designed to help users maneuver up the learning curve quickly, and the Forward Curve functions can also be incorporated into trade-capture and risk management systems via the library version, ErgLib, ensuring consistency between the forward curves and calibrated model parameters of desktop and system users.
- Develop forward curves using historical price data, while simultaneously matching market observed quotes (on-peak, off-peak and round-the-clock forward curves can be developed)
- Develop spot local volatility curves using historical data and market-observed quotes
- Select the price process model that most accurately captures the dynamics of the underlying commodity price, and calibrate the parameters
- Perform PCA analysis to overcome the curse of dimensionality