Hourly Forward Curve
The hourly forward curve ( HFC for short , "hourly forward price curve") is an aid in energy trading to record the development of reference and delivery periods. It is, for example, based on the current wholesale prices on the power exchange European Energy Exchange formed (EEX).
In this context, the hourly price forward curve (HPFC for short) is also used. An HPFC is a virtual product because the hourly prices shown cannot be traded on the market. For this reason, dynamic HPFCs are increasingly being used, with which the price structure risk of an electricity delivery is additionally calculated.
There are numerous tools on the market that use the HFC or HPFC to evaluate electricity and gas trading prices.
Power generation companies use hourly price forward curves in models to assess the profitability of future power plants . With generation market models, an electricity price is calculated for each of the 8760 hours of a year for the entire future runtime of the power plant and it is determined whether it will be economical to have the power plant connected to the grid.
Calculating an HPFC
The data basis for an HPFC calculation are the end-of-day (EOD) closing prices of the respective forward price products of a market region (e.g. for the market region Germany these are the Phelix Futures). In addition to the forward prices, you also need the historical, hourly electricity spot prices, i.e. H. the actually realized, hourly electricity prices for a specific market region.
An HPFC algorithm basically breaks down the daily traded, standardized electricity price futures products (e.g. a baseload annual contract of 8760 hours at 50 EUR / MWh each) for the same period into an hourly resolution with the same contract value (freedom from arbitrage). In contrast to the standard product, however, the market characteristics should be taken into account with the HPFC, i. H. Seasonalities, daily fluctuations, intraday variations, etc.
The generation of an HPFC, taking into account all traded electricity price futures products (baseload / peak load for annual, quarterly, monthly, weekly, weekend and daily products) is normally done by solving a large linear system of equations in which the futures price products are mapped accordingly. The historical electricity spot prices are used to model the daily and intra-day fluctuations.
Application examples:
HPFC can be calibrated to different historical periods. This allows z. B. Take better account of effects that result from the increasing feed-in of solar power.
Benefits :
- The HPFC process is transparent, repeatable and resilient
- High comparability and consistency in the assessment
- Sophisticated algorithm develops the new prices on the basis of the typical history
- A continuous evaluation of market opportunities is supported
- The hourly HPFC is calibrated daily and can contain a quality check
- Important reflection of renewable energies and the seasonality of spot prices
Individual evidence
- ^ Hourly Price Forward Curve (HPFC). Retrieved on November 19, 2019 (German).
- ^ Hourly Price Forward Curve (HPFC). Retrieved on November 19, 2019 (German).