DT.PFC

With DT.PFC, Decision Trees offers a highly developed tool to generate HPFCs and DPFCs.

To generate a PFC, DT.PFC requires two steps:

  • To begin with, a structure curve is generated by means of specialized regression models. This curve comprises all information on daily, weekly and yearly structures of the relevant commodity price.
  • In the second step of the PFC optimization in DT.PFC, the hourly or daily price forward curve is adjusted, taking full market price information for all standard and off-standard products into consideration. Definable smoothing factors applied to the end/beginnings of each month are included in the optimal, arbitrage-free HPFC/DPFC.

As a result, a PFC is generated that features the best possible structure and includes all available market price information.

For further and detailed information click here.