Lacima Trader > Curve

Generate consistent, arbitrage-free forward curves. 

Convert forward quotes into detailed arbitrage-free forward cures using Lacima's proven numerics library.  Curve supports multiple levels of granularity, including: monthly, weekly, daily, hourly and half-hourly. Use within existing templates provided, or apply the function library to build Curve functionality into in-house valuation and risk analysis solutions.

Fact Sheet

Business benefits

  • Real-world: flexible structure allows application to most markets and considers business and non business days, as well as seasonal variations
  • Superior analytics: use shaped curves to provide more accurate valuations and accounting projections, such as cashflow, revenue and cost
  • Realistic:  produce curves that are consistent, arbitrage-free and accurately represent the selected market
  • Easy to use: employ provided templates or apply the function library to build Curve functionality into in-house valuation and risk analysis solutions 
  • Consistent:  model outputs meet the needs of all teams from Front Office to Back Office, including traders, structurers, originators, risk managers, analysts and quants

Key features

  • Profile quotes: create a fully shaped forward curve by profiling market quotes 
  • Cross commodity: flexible enough to deal with the specific needs of different commodity classes – from gas, power and oil, to freight, metals and soybeans, and everything in between 
  • Forecast from history: build shapes for price relationships from historical prices. Shapes may be built by any combination of month, season, weekday or hour of the day 
  • Fast: generate curves quickly for complex markets with high levels of granularity, such as power markets 
  • Analyze, view and graph market curves at various levels of granularity using Excel to conduct quick ad hoc analysis 
  • Integrated: use Curve on a stand-alone basis to build curves or with other products in the Lacima Trader suite to run simulations and value trades