This issue could be to do with transition of Pricing from the @2cd point on the forward base load curve to the @1cd.h1 , @1cd.h2 , …. @1cd.h24 hourly points on the hourly curve on the next day. Example :
On the 21st the DELTA for the “Delivery Day 23rd“ was on the 2nd Calendar Gridpoint (@2cd) on the BaseLoad Curve. On the 22nd the “Delivery Day 23rd“ is now being priced not off the BaseLoad curve but on the 1cd part of the Hourly Curve.
However the Impact Of Delta on the 22nd doesn’t know that the deal is now pricing off the Hourly rather than the Baseload curve – so it ( quite rightly ) gets the “Today Price” for the “Delivery Day 23rd“ from the BaseLoad curve which would be the 1st Calendar Gridpoint (@1cd) on this curve
This is showing as 51 . What it should have been showing was the average of the Hourly prices on the Hourly Curve for the “Delivery Day 23rd“ which = 47.3441667.
For Power Prices , they get “known/fixed in” at the Hourly Granularity on a Day Ahead basis. So what this means is that the “Next Day” prices are rightly fed through onto the HOURLY Curve and the Baseload/Peak Curves are only used for “Next Day + 1” onwards.
However m for the PnL Explained ( Impact Of Delta ) to work correctly we need the “Next Day” price to also be correct on the Baseload ( / Peak ) curves – and to be consistent with the “Next Day” set of Hourly Prices on the Hourly Curve.
Otherwise we get wrong Impact Of Delta.
So in the example we are talking about.
On the 22nd January 2014
· The average of the Hourly Prices on the “PWR_Base_HU.EUR” for the 23rd January Delivery period hourly gridpoints = 47.3441667
· The on the “PWR_Base_HU.EUR” curve Price for the 23rd January Delivery day ( happens to be @-67cd>3lom ) = 51.0
They should however have been exactly the same ( ditto for the PEAK average and PEAK Curve ) .
So need to ensure that even though the Day Ahead price is actually resolved to Hourly Granularity and fed to the Hourly Curve , that we are still feeding the correctly averaged single price onto the @1cd gpt gridpints on the Baseload and Peak curves as well . Whilst its not being used to price the deal – it gets used for Impact Of Delta.
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