Price Modelling
High quality simulations are a key differentiator for trading success. Ours set the standard.
The Challenge: Energy price models often break down when markets move, missing critical relationships between markets.
Our Solution: We capture how energy markets actually behave: the spreads, correlations, and structural relationships.
The Result: Better trading outcomes, asset and portfolio analysis and management.
Core Capabilities
Simulation
Simulate spot and forward prices capturing real-world market behaviour.
Joint simulation: All market variables move together, just like in real trading.
Market relationships: Capture how commodities actually correlate during different market conditions
Backtested: Proven against historical data
Curve Construction
Turn market data into shaped forward curves.
Shape: Add realistic shape to flat market prices
Extend horizons: Project prices beyond what’s actively traded
Clean: Fill gaps and resolve overlaps in market quotes
Custom resolution: Choose your granularity – daily, monthly, or hourly
Get Started
Ready to get the numbers right?
Request a free consultation to discuss your deal, portfolio, and price modelling requirements.
How it works:
- Tell us your needs – submit your requirements
- We’ll be in touch – response within 48 hours
Functionality List
1. Market Framework
Price Construction from Market Drivers: Model prices using base + spread structures (e.g. gasoline = crude + crack) to reflect how value is actually formed.
Structural Price Relationships: Capture long-term price relationships that are more robust than short-term correlations.
2. Curve Construction
Curve Shaping: Apply seasonality and market patterns to build granular curves (e.g. from monthly to daily).
Curve Extension: Project curves beyond traded periods using historical trends or fundamentals.
Market Curve Cleanup: Turn discrete market quotes into continuous curves — resolve gaps, overlaps, and flat regions.
Multi-Resolution Curves: Generate curves in custom resolutions — daily, monthly, or half-hourly — to match your needs.
Derived & Synthetic Curves: Support indexed benchmarks (e.g. JKM = Brent + shipping) or proxy curves for illiquid assets.
3. Simulation
Scenario Overlays: Apply stress scenarios (supply shock, price spike, high volatility) to test performance under different market conditions.
Full Path Storage: Store complete simulation paths to support options valuation, distribution analysis, and value attribution.
Spread Simulation: Simulate key spreads directly (e.g. Brent–JKM) to better reflect value and avoid artificial spread blowouts
Forward Price Simulation: Simulate forward paths for prices, spreads, and indices using volatility and correlation inputs.
Parameter Stress Testing: Stress test volatility, correlation, and other inputs – useful for risk management and governance.
4. Calibration & Validation
Historical Backtesting: Test simulations against actual historical years — prove the framework works in real markets.
Fit-to-History Validation: Check that simulations match historical distribution patterns and market dynamics.
Governance Documentation: Package curves and simulations with benchmark statistics, charts, and audit trails for model approval.