METHOD AND DEVICE FOR CALCULATING A FORWARD PRICE FOR USING LINKS IN A NETWORK

摘要

The invention relates to a method for calculating in a network that comprises links a joint distribution of forward prices for using the links in the network. The method comprises the following steps: a provision step (I) for providing an observed forward price of a forward contract for each of the links; a determination step (II) for deriving from the observed forward prices a proposed joint distribution of forward prices by applying a forward pricing process to each of the links, thereby generating a geographical arbitrage in the network; an arbitrage reduction step (III) for reducing the geographical arbitrage in the proposed joint distribution of forward prices by a geographical arbitrage reduction value; a verification step (IV)for verifying if the proposed joint distribution of forward prices together with the observed forward prices has a defined property in response to the determination step and the arbitrage reduction step; if the verification step results in the defined property being not present: a generation step (V) for generating a property reduction value; repeating the determination step, the arbitrage reduction step and the verification step, applying the property reduction value to the forward pricing process of each of the links.