COMMODITY CURVES BASED ON DERIVATIVE CONTRACT SPECIFICATIONS
A system receives a commodity identification, a curve type, and a curve category. The system also receives an interpolation identification, an extrapolation identification, a read procedure, and a maximum number of days for a readback. The system further receives contract data, the contract data including a market identifier code, a derivative contract specification (DCS) identification, and a price type. The system uses the contract data to generate a commodity curve based on DCS, and displays the commodity curve based on DCS on an electronic display unit.
1 . A system comprising:
a computer processor operable to:
receive a commodity identification, a curve type, and a curve category;
receive an interpolation identification, an extrapolation identification, a read procedure, and a maximum number of days for a readback;
receive contract data, the contract data comprising a market identifier code, a derivative contract specification (DCS) identification, and a price type;
use the contract data to generate a commodity curve based on DCS for a curve date; and
display the commodity curve based on DCS on an electronic display unit.
2 . The system of claim 1 , wherein the curve category is based on the derivative contract specifications (DCS).
3 . The system of claim 1 , wherein the interpolation identification comprises one or more of a constant forward interpolation, a constant backward interpolation, a linear interpolation, a monotone convex interpolation, or a cubic spline interpolation.
4 . The system of claim 1 , wherein the commodity identification comprises an abstract commodity (whole family of commodities like copper) or a real commodity (bounded to a location).
5 . The system of claim 1 , wherein the curve date comprises a date on which the commodity curve based on DCS is constructed.
6 . The system of claim 1 , wherein the price type comprises one or more security price types including one or more of a spot price, a closing price, a bid price, a mid price, or an ask price.
7 . The system of claim 1 , wherein a commodity curve based on DCS for a second commodity is based on contract data for a first commodity, and wherein the second commodity is not traded on an exchange.
8 . The system of claim 1 , wherein the market identifier code identifies a market for a future, and the derivative contract specification identification identifies available futures.
9 . A process comprising:
receiving a commodity identification, a curve type, and a curve category;
receiving an interpolation identification, an extrapolation identification, a read procedure, and a maximum number of days for a readback;
receiving contract data, the contract data comprising a market identifier code, a derivative contract specification (DCS) identification, and a price type;
using the contract data to generate a commodity curve based on DCS for a particular curve date; and
displaying the commodity curve based on DCS on an electronic display unit.
10 . The process of claim 9 , wherein the curve category is based on the derivative contract specifications (DCS).
11 . The process of claim 9 , wherein the interpolation identification comprises one or more of a constant forward interpolation, a constant backward interpolation, a linear interpolation, a monotone convex interpolation, or a cubic spline interpolation.
12 . The process of claim 9 , wherein the commodity identification comprises an abstract commodity (whole family of commodities like copper) or a real commodity (bounded to a location).
13 . The process of claim 9 , wherein the curve date comprises a date on which the commodity curve based on DCS is constructed.
14 . The process of claim 9 , wherein the price type comprises one or more security price types including one or more of a spot price, a closing price, a bid price, a mid price, or an ask price.
15 . The process of claim 9 , wherein a commodity curve based on DCS for a second commodity is based on contract data for a first commodity, and wherein the second commodity is not traded on an exchange.
16 . The process of claim 9 , wherein the market identifier code identifies a market for a future, and the derivative contract specification identification identifies available futures.
17 . A computer readable medium comprising instructions that when executed by a processor execute a process comprising:
receiving a commodity identification, a curve type, and a curve category;
receiving an interpolation identification, an extrapolation identification, a read procedure, and a maximum number of days for a readback;
receiving contract data, the contract data comprising a market identifier code, a derivative contract specification (DCS) identification, and a price type;
using the contract data to generate a commodity curve based on DCS for a particular curve date; and
displaying the commodity curve based on DCS on an electronic display unit.
18 . The computer readable medium of claim 17 , wherein the interpolation identification comprises one or more of a constant forward interpolation, a constant backward interpolation, a linear interpolation, a monotone convex interpolation, or a cubic spline interpolation.
19 . The computer readable medium of claim 17 , wherein the price type comprises one or more security price types including one or more of a spot price, a closing price, a bid price, a mid price, or an ask price.
20 . The computer readable medium of claim 17 , wherein a commodity curve based on DCS for a second commodity is based on contract data for a first commodity, and wherein the second commodity is not traded on an exchange.