| 词条 | Forward curve |
| 释义 |
The forward curve is a function graph in finance that defines the prices at which a contract for future delivery or payment can be concluded today. For example, a futures contract forward curve is prices being plotted as a function of the amount of time between now and the expiry date of the futures contract (with the spot price being the price at time zero). The forward curve represents a term structure of prices.[1] Forward interest rateA forward interest rate is a type of interest rate that is specified for a loan that will occur at a specified future date. As with current interest rates, forward interest rates include a term structure which shows the different forward rates offered to loans of different maturities. According to the unbiased expectations hypothesis, forward interest rates predict spot interest rates at the time the loan is actually made, but many analysts dispute whether this is true, as it ignore durational risk.[2] This figure is part of the lending & credit industry and is related as well to the "expectations theory" which states that forward interest rates can be used as forecasts for future interest rates. Investors expecting higher short-term interest rates are more likely to buy bonds maturing in the short term. If they were to park money into a long term debt they might not be able to make as much interest. Finance analysts can refer to a graph of forward interest rate values over different time periods, the forward curve, to evaluate the time value of money. Price forward curveA Price forward curves (short PFC) reflects specialties of the commodity market such as:
In order to fairly value and manage the profitability of energy products it is thus necessary to capture these seasonal price dynamics in a forward curve term-structure. The contract duration of a futures contract is limited by definition and investors have to change their contract during the contract term. Price forward curves help to determine when to do that, two scenarios are possible:[3]
Hourly price forward curveAn hourly price forward curve (HPFC) is the construction of a forward curve at a resolution exceeding that known to the market and is as such able to capture the seasonalities of the electricity spot prices. The construction of an HPFC can be based on the combination of two approaches. A statistical approach examines how spot prices have moved in the past. A fundamental model suggests that the price is set purely by supply and demand (respectively, fuel prices on the merit order curve, and load).[4] It is difficult to specify exactly what makes a good HPFC, it should (1) be arbitrage-free for products traded on an exchange, (2) reflect the seasonality of spot prices, and (3) handle renewable energies correctly[5] References1. ^{{cite book|editor1-last=von Schwintowski|editor1-first=Hans-Peter|editor2-last=Berlinghof|editor2-first=Britta|title=Handbuch Energiehandel|date=2010|publisher=Erich Schmidt Verlag|location=Berlin|isbn=978-3503154388|page=751|edition=2|language=German}} 2. ^{{cite web|title=All Together Now: The Forward Curve is Not a Forecast|url=http://ftalphaville.ft.com/2011/02/28/500181/all-together-now-the-forward-curve-is-not-a-forecast/}} 3. ^{{cite web|title=Was sind Forward Curves?|url=http://www.finanzen.net/rohstoffe/forward-curve/|website=finanzen.net|publisher=Axel Springer|accessdate=13 January 2016|location=Karlsruhe, Germany|language=German}} 4. ^{{cite journal|last=Hildman|first=Marcus |author2=Jeroen Cornel |author3=Florian Herzog |author4=Dejan Stokic |author5=Göran Andersson|title=Robust Calculation and Parameter Estimation of the Hourly Price Forward Curve}} 5. ^{{cite journal|last=Hildman|first=Marcus |author2=Göran Andersson |author3=Grégoire Caro |author4=Donnacha Daly |author5=Sebastiano Rossi|title=What makes a good Hourly Price Forward Curve?|year=2013}} Further reading
2 : Electricity economics|Interest rates |
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