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Forward Curve
Posted: June 15th, 2005, 10:42 pm
by saliq
Hi,I have to construct Forward Curve for CrudeOil Future Contracts..for next Year....i have historical 10 years data for spot and Futures prices...all i know ,i can use ARMA model to forecast spot price return and by using that forecaste i construct forward curve....so can anyone tell me is it right way to construct forward curve...One more thing I have to incorporate seasonal component but not sure how to do,,i ll greatful if anyone provide some suggestions....Cheers
Forward Curve
Posted: June 16th, 2005, 8:03 pm
by saliq
I can not belive it...no one has any suggestion !.....please just give me some hints....
Forward Curve
Posted: June 17th, 2005, 2:36 pm
by APD
What you want to achieve is far from clear - the whole point of the oil futures curve is that it gives the price of crude oil for delivery in a year times.
Forward Curve
Posted: June 17th, 2005, 2:50 pm
by APD
If you are looking to model the term structure of the Oil Futures curve then I would suggest looking for Gabillon's 1991 paper "The term strucutre of Oil Futures prices" Oxford Institute for Energy Studies.
Forward Curve
Posted: June 17th, 2005, 2:51 pm
by APD
Forward Curve
Posted: June 17th, 2005, 8:59 pm
by saliq
thank for some suggestions.... in fact i m doing my university assignments...
Forward Curve
Posted: June 21st, 2005, 12:37 pm
by nyamazani
Also have a look at Schwartz' 2 factor model. It gives closed form solutions for commodity forwards, so you can calibrate the model to fit your historic data using MLE or similar, and then use the formula to get your forward prices.