msfc function

Maximum Smoothness Forward Curve (MSFC)

Creates a smooth forward curve from futures prices for a flow delivery

msfc(tdate, include, contract, sdate, edate, f, prior = 0)

Arguments

• tdate: trading date
• include: logical vector to determine if contracts should be included in calculation
• contract: vector with contract names
• sdate: date vector with contract delivery start dates
• edate: date vector with contract delivery end dates
• f: numeric vector with futures contract prices
• prior: numeric vector with prior forward price curve

Returns

instance of the MSFC class

Examples

# calculate forward curve for synthetic futures contracts, without prior

# date for curve calculation and contract information
tdate <- as.Date("2021-06-17")
include <- rep(TRUE, 10)
contract <- c("JUL-21", "AUG-21", "SEP-21", "OCT-21", "NOV-21", "DEC-21",
"Q1-22", "Q2-22", "Q3-22", "Q4-22")

sdate <- as.Date(c("2021-07-01", "2021-08-01", "2021-09-01", "2021-10-01",
"2021-11-01", "2021-12-01", "2022-01-01", "2022-04-01", "2022-07-01", "2022-10-01"))

edate <- as.Date(c("2021-07-30", "2021-08-31", "2021-09-30", "2021-10-31",
"2021-11-30", "2021-12-31", "2022-03-31", "2022-06-30", "2022-09-30", "2022-12-31"))

f <- c(32.55, 32.50, 32.50, 32.08, 36.88, 39.80, 39.40, 25.20, 21.15, 29.50)

fwd_curve <- msfc(tdate = tdate,
include = include,
contract = contract,
sdate = sdate,
edate = edate,
f = f)