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IMOS - Curve Generation

Curve Generation is a process where new forward curve prices are calculated for routes based on broker quotes. You can generate a curve based on specified parameters and save the new curve to a Market.

  1. On the Market Data form, complete the following fields:

    • Markets: One or more source Markets. These should be of broker type only, not generated.
    • Mode:
      • Multi-market for Hub
      • Single-market for Secondary
    • Route: Source route
    • Date: Date on which source prices are published
  2. After selecting the date, Broker Quotes are loaded. In Multi-market mode, the values are averaged if they overlap the same period.
  3. Under Curve Generation, enter the relevant parameters. Different options appear, depending on the Type:
    • Hub: Future Rates generated from prices from the selected source Markets, which is information collected from brokers. The generated curve is the average of the multiple forward prices from these Markets.
    • Secondary: Future Rates generated from the correlation between the Daily Spot Rates for the selected Route and the selected Ref Routes.
  4. Click 
    . Future Rates appear.
  5. In the Name field, select a Market (of the Generated type) and click 
    The Generated Market Curve can be used for exposure in the Trading Profile.
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