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Quantitative Finance · Glossário

O que é Forward curve?

Definition 10.1 Markets III: Commodities, Energy and Crypto · Capítulo 10 — Forward Curves, Storage and Convenience Yield

The forward curve of a commodity at a date is the set of prices, on that date, of futures or forwards on the commodity for successive delivery dates, seen as a function of the time to delivery.

Forward curves, schematic. Storage caps how steep contango can be (full carry, the cost of financing and storing), while nothing caps backwardation, which is set by how much the market values having the commodity now. Stylised, no data.
Figure 10.1. Forward curves, schematic. Storage caps how steep contango can be (full carry, the cost of financing and storing), while nothing caps backwardation, which is set by how much the market values having the commodity now. Stylised, no data.
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