Curve
A curve is a structure that represents a set of values with a time index sometime in the future. It can be used for commodity and financial forward curves, yield curves and forecasts (weather, prices etc.)
Introduction
A curve is a very flexible and dynamic way of expressing point-in-time based future values, both real and forecasted. A simple curve comprises:
- CurveDate - This is the date for when this curve is valid and all the data contained in the curve is relative to this date. The CurveDate also contains an expiry calendar which is used to calculate the relative future date/time of the curve contracts
- Contracts - This is a set of Contract objects that contain a period code which determines the relative future period that this contract covers, a value and any other properties you want to add
- Currency - An optional currency code
- Units - An optional units code
- User properties - Any other properties you want to add onto the curve
Construction
To construct a new curve, you use the curve function which takes a CurveDate as a parameter as shown in the syntax below:
curve = Curve(curveDate)
An example of constructing a new curve:
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
curve = Curve(ondate)
In the above example:
- We create a new ExpiryCalendar using a business calendar
- Add an expiry rule to go to the end of the previous month
- Create a CurveDate for a specific date and using the expiry calendar we used above
- Create a new curve with the CurveDate created above
Properties
A curve has the following properties:
| Name | Description | Type |
|---|---|---|
| ondate | The date for which the curve corresponds to | CurveDate |
| currency | The currency of this curve | Scalar(String) |
| units | The units of measure for this curve | Scalar(String) |
| contracts | The set of contracts on this curve | Contracts |
| size | The number of contracts on this curve | Scalar(int) |
| precision | The data value precision configuration | String |
| * | Any other dynamic properties added | Any |
Examples of curve properties:
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
curve = Curve(ondate)
// Set the currency and units
curve.currency = "EUR"
curve.units = "MWH"
// Add a dynamic property 'category'
curve.category = "EUROPEAN POWER"
Methods
A curve has the following methods:
| Name | Description | Return Type |
|---|---|---|
| add(Contract) | Adds a contract to a curve | This curve |
Full example using properties and methods:
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
curve = Curve(ondate)
curve.currency = "EUR"
curve.units = "MWH"
curve.category = "EUROPEAN POWER"
curve.add(Contract(ondate, "2020M11", 25.67))
curve.add(Contract(ondate, "2020M12", 25.75))
curve.add(Contract(ondate, "2021Q01", 25.8))
curve.add(Contract(ondate, "2021Q02", 25.83))
curve.add(Contract(ondate, "2021Q03", 25.85))
curve.add(Contract(ondate, "2021Q04", 25.89))
curve.add(Contract(ondate, "2022Y", 25.99))
print json(curve)