It is a software tool based on Microsoft Excel with an enhanced Matlab computational execution code, designed to create hourly forward price curves in electricity markets. The software uses futures prices to define the level of the forward price curve, and historical settled prices to create the curve shape and relative product relations.

To model hourly forward prices, the Forward Curve Creator:

• Calculates monthly base-load and peak-load prices for a selected time period. Monthly product prices are only available for a short future period (e.g. 8 months at EEX). Further in the future only quarterly and yearly products are available. The software can model monthly product prices from quarterly and yearly product prices based on user defined logic using historical futures prices and hourly prices data.
• Models hourly prices in such a way that monthly average base-load and peak-load prices correspond to market monthly product prices. The model uses characteristic day factor curves to model a hourly price curve shape for a specific weekday with unlimited user defined possibilities.
• Allows you to choose from several options during the modeling process, thus enabling a tailored approach to a specific market with its own characteristics ,or to specific user demands.

The Forward Curve Creator enables this functionality in two steps:

1. Based on historical data and your preferences you can build a model (or numerous models) that contain data on product correlations and characteristic day factor curves.
2. Based on a saved model and future product prices you can creates hourly forward price curves.

Last changed: 07/15/2009 at 11:20 pm