Forward Price Curve

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Information about Forward Price Curve

Published on March 15, 2009

Author: DerivativesTradingDesk



Determining forward price curve for energy derivatives

Derivatives primer - Determining a Forward Price for a storable commodity - Natural Gas, Crude Oil, LNG. Electricity? A Quantitative approach for Petrobras (Brazil - Emerging Markets) in Endur, Allegro, Sungard Energy, Triple Point and Energy Trading Risk Management Systems Forward Price at time T Forward date Spot Price at time t Spot date Risk free Interest Rate IR Cost of Carry Storable commodity only Convenience Yield Price of fuel/Electricty price = Spark Spread Forward date Time in the future (in weeks) Spot date Current, not averaging prices Electricity is not storable. Electricty generated in one time period cannot carry forward to the next. Future Spot prices do not correlate to current Spot prices as specific influences will vary and differ, so cost of carry is not available for Electricity. c. 2009 Phil Green, Derivatives Trading Desk®™

LNG. Electricity? riple Point and park Spread re Spot prices do able for Electricity.

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