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Curve Building Script

SmartCurve Functions​

#CurveScript is the default script used for expressions in Smart Curves.

bootstrap​

bootstrap is a shortcut version of bootstrapCurve which creates an arbitrage-free monthly curve from an input curve containing any number of:

  • Months
  • Quarters
  • Seasons
  • Years

Syntax​

bootstrap(BASE)

bootstrapAndShape​

This function first bootstraps an input curve and then shapes it using the default shaping algorithm.

Syntax​

bootstrapAndShape(BASE)

multiplyByFactor​

This function multiplies an input curve by a fixed factor

Syntax​

multiplyByFactor(BASE, factor)

divideByFactor​

This function divides an input curve by a fixed factor

Syntax​

divideByFactor(BASE, factor)

addPremium​

This function adds a fixed premium to an input curve

Syntax​

addPremium(BASE, premium)

discount​

This function subtracts a fixed discount from an input curve

Syntax​

discount(BASE, discount)

flatCurve​

This function creates a monthly curve with the same value for every tenor. It takes 2 parameters:

  • Months - the number of months you want the curve to be
  • Value - the value you want to assign every tenor

Syntax​

flatCurve(12, 25.2)

iif​

This is a conditional function that tests a condition.

It takes 3 parameters:

  • condition - the condition to test
  • valid - the value to use if true
  • invalid - the value to use if false

For each contract on the curve

  • if the condition is true, it takes the value from the valid parameter
  • if the condition is false, it takes the value from the invalid parameter

Syntax​

iif(BASE<0, 0, BASE)

interpolate​

The function fills in any missing tenors in the input curve using the specified method, which can be one of:

  • FORWARD
  • BACKWARD
  • LINEAR
  • CUBIC

Syntax​

interpolate(BASE, 'LINEAR')

offPeak​

This function creates an off peak power curve from a base and peak curve. It takes 4 parameters:

  • BASE - the base price curve
  • PEAK - the peak price curve
  • PKCAL - The name of the peak calendar which defines the hours relating to the peak hours
  • OPKCAL - The name of the off-peak calendar which defines the hours relating to the off-peak hours

Syntax​

offPeak(BASE,PEAK,"#ICE_NL_PEAK_CALENDAR","#ICE_NL_OFFPEAK_CALENDAR")