Page 1 of 1

Fwcurves

PostPosted: Fri Jan 30, 2015 5:32 pm
by Jarek Dudek
Hello! Can you explain me how you calculate Deseasonalized forward curve? As I understood you compare current price of forward curve and seasonal price (for 5/10/15/20 etc.).
DFC = FC +(season price - current price of first month (second etc.))
If I misunderstood please correct me!

Re: Fwcurves

PostPosted: Fri Jan 30, 2015 6:30 pm
by Roman
Hi, DFC calculation is described in this document:

http://www.kcl.ac.uk/nms/depts/mathemat ... an2008.pdf

Re: Fwcurves

PostPosted: Sat Aug 15, 2015 12:48 pm
by Nick
SA Team,

I just wanted to thank you folk for including the de-seasonal curve! It's very powerful and a great indicator to how the curve is really behaving.

Good work!

N

Re: Fwcurves

PostPosted: Sun Aug 16, 2015 6:54 pm
by Roman
Thanks Nick, good to hear that you use it and find it useful!