State of the Art Price Forward Curve Calculation for Power and Gas Markets

State of the art process of a price forward curve calculation is presented for gas and power markets. Implementation of the solution in an agile infrastructure, which supports the continuous acquisition of market data, enables automation of the process and calculation of price forward curves several times per day and provides edge real-time market awareness. The presented solution is a step-by-step process that combines the rules to remove overlapped product prices, followed by the use of quadratic programming, where preservation of price forward curve shape is achieved through the cost function definition. Within quadratic programming, Last market prices are considered as equality constraints, and market Bid and Ask prices at the time of price forward curve calculation are taken as inequality constraints. The optimization process is performed in steps to prioritize more important constraints on one side and ensure the feasibility of the solution on the other.