shape

A curve function that shapes a monthly curve

Syntax

Curve = shape(Curve)

Result

A curve that is shaped using the a normalised shape based on the first 12 months of the input curve. It then shapes the rest of the curve in blocks of 12 months retaining the correct average values.

Example

ondate = CurveDate(Date("2020-10-30"), "REOMHENG")

curve = Curve(ondate)
curve.currency = "EUR"
curve.units = "MWH"
curve.add(Contract(ondate, "2020M11", 26.87))
curve.add(Contract(ondate, "2020M12", 26.85))
curve.add(Contract(ondate, "2021M01", 26.75))
curve.add(Contract(ondate, "2021M02", 26.65))
curve.add(Contract(ondate, "2021M03", 26.62))
curve.add(Contract(ondate, "2021M04", 26.55))
curve.add(Contract(ondate, "2021M05", 26.68))
curve.add(Contract(ondate, "2021M06", 26.89))
curve.add(Contract(ondate, "2021M07", 27.05))
curve.add(Contract(ondate, "2021M08", 27.15))
curve.add(Contract(ondate, "2021M09", 27.02))
curve.add(Contract(ondate, "2021M10", 26.85))
curve.add(Contract(ondate, "2021Q04", 26.92))
curve.add(Contract(ondate, "2022Y", 27.12))
curve.add(Contract(ondate, "2023Y", 27.20))

bootstrapped = bootstrapCurve(curve)
shaped = shape(bootstrapped)

for tenor in shaped.contracts
    print tenor.absolute + " : " + tenor.value
next

2020M11 : 26.870000
2020M12 : 26.850000
2021M01 : 26.750000
2021M02 : 26.650000
2021M03 : 26.620000
2021M04 : 26.550000
2021M05 : 26.680000
2021M06 : 26.890000
2021M07 : 27.050000
2021M08 : 27.150000
2021M09 : 27.020000
2021M10 : 26.850000
2021M11 : 26.955000
2021M12 : 26.955000
2022M01 : 27.025839
2022M02 : 26.924628
2022M03 : 26.894362
2022M04 : 26.823741
2022M05 : 26.954893
2022M06 : 27.167080
2022M07 : 27.328824
2022M08 : 27.429710
2022M09 : 27.298558
2022M10 : 27.126726
2022M11 : 27.232819
2022M12 : 27.232819
2023M01 : 27.105562
2023M02 : 27.004051
2023M03 : 26.973696
2023M04 : 26.902867
2023M05 : 27.034406
2023M06 : 27.247219
2023M07 : 27.409440
2023M08 : 27.510624
2023M09 : 27.379085
2023M10 : 27.206746
2023M11 : 27.313152
2023M12 : 27.313152

This is the bootstrapped curve:

And here is the shaped curve: