Thanks for the correction. The above sentence should read “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”
Regarding the Day Ahead Fixing : The deal doesn’t actually fix on a Day Ahead basis – but the setup achieves the same thing . What happens is that the Day Ahead hourly price comes in onto the 1cd of the Hourly Curve. Now this whole Hourly Curve has got Delta Sensitivity set to NO on all the gridpoints.
So even though its not “fixed” there is no Delta on the Hourly Curve ( so no delta for 0cd and 1cd ) .
Also the Historical Price Configuration is set to save the “1cd” point off the Hourly Curve on a Daily Basis – so the Day Ahead is being saved into the Hourly Historical Price tables daily ( this does mean that the Save Historical also needs to run on weekends )
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