METHODOLOGY
How we build our curves
EOX forward curves are independent assessments of where each market is trading, built from OTC market activity and quantitative modeling. This page explains the principles behind them. Clients and trial users can walk through the full methodology with us by phone.
What a curve represents
Each curve is our assessment of fair value for every delivery period along the forward strip, at the time of publication. End-of-day curves reflect the market at the close. Intraday curves capture how prices move through the trading day. The end-of-day set is the official daily record, and history is kept on that basis.
Inputs
- BGC Group brokerage activity: trades and quotes from BGC Group brokerage desks, covering both bilateral and cleared volumes in the calculation chain
- Public data: publicly available market information
- Statistical modeling: the observed relationships between related locations, products and delivery periods
How curves are built
- Collect: market activity is captured and time-stamped throughout the trading day.
- Screen: stale, erroneous and off-market data points are filtered out before they reach a curve.
- Anchor: liquid, actively traded points set the level of each curve.
- Model: quantitative models extend each curve to less liquid locations and delivery periods, using the observed relationships between related markets.
- Check: curves are tested for consistency across related locations, delivery shapes and calendar strips.
- Publish: curves are released with a timestamp and delivered by API, Excel add-in, file download, FTPES and email.
The model
Brokerage trades and quotes, public data and statistical modeling are fused by a proprietary algorithm to produce granular, unbiased curves. An autoregressive moving average (ARMA) process marks curves both in and out of sample. Partial Markov processes, used together with partial autocorrelation, keep entire complexes marked with appropriate deltas and shapes. The algorithm keeps every curve fully granular and correctly shaped while guarding against adverse model outputs.
Timing
The whole process runs automatically every 15 minutes through the trading day, to meet trading and risk management needs. End-of-day curves are published after the close on each trading day. Every curve carries its publication timestamp.
Quality control
Automated checks flag unusual moves and inconsistencies before publication, and flagged points are reviewed by an analyst.
What we keep confidential
Our models, weightings, data selection rules and source-level detail are proprietary. We share the methodology in more depth with clients and trial users, by phone.
Disclaimer
EOX curves are independent assessments for valuation, risk management and analysis. They are not offers to trade, and they are not investment advice.