Rule of Thumb for building pragmatic seasonal Power Forward Curve

1. Dummy Power Forward Curve ©N.Rouveyrollis 2009 Forward curve models for electricity market may be managed using sophisticated approaches involving a multitude of parameters. As a simple first insight, here we will present a simple rule of thumb for building in a straightforward way a seasonal Power Forward Curve involving only the choice a shape factor given by the market and preserving the non arbitrage splitting condition. Basically, this procedure can be easily implemented for the initial guess rule when considering more sophisticated model prior calibration.

10. Simple Example Initial French Power Forward Curve + German EEX Power Curve Monthly Factor