FUEL FORWARD CURVE ESTIMATION METHOD AND SYSTEM USING ESTIMATED FUEL FORWARD CURVE

摘要

PROBLEM TO BE SOLVED: To estimate an exact fuel forward curve used in calculating a fixed price for fuel.

SOLUTION: A fuel forward curve estimation method comprises: acquiring a futures price for reference fuel on the basis of a each contract month (S2); acquiring a fluctuation in the futures price for the present reference fuel against the futures price in the most recent contract month for the reference price (S3); and modeling the futures price on the basis of each contract month for the reference fuel by using the acquired fluctuation in futures price for the reference fuel (S4); time lag-correcting the futures price on the basis of each contract month for modeled reference fuel (S5); estimating the time series model of a spread indicative of a difference in prices between fuel of interest on the basis of each futures contract month and the futures in the most recent month of the reference fuel based on the futures price on the basis of each contract month for the corrected reference fuel (S6); and estimating the forward curve of the fuel of interest from the estimated time series model (S7).

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