Reply To: Whats the difference between the two standard fixing script ?

#7166
Phil Walsh
Keymaster

It was introduced when the PWR-EXCH-FUT and PWR-EXCH-FWD instrument types were enabled in Endur, which allow exchange-traded power instruments to be valued using a super-index, as with OTC power instruments. However, whereas an OTC instrument will typically fix at the end of the delivery period, the exchange-traded equivalent needs to fix on expiry, but the instruments will not by default set the fixing date to the expiry date. The fixing date can be changed to be the expiry date, but the FixFwd script removes the need to do this, as it will fix the instruments on expiry regardless of what the fixing date is set to.

The FixFwd script also supports fixing from a Market Price Index, as opposed to the Projection Index which I don’t think can be supported for the PWR-EXCH instruments using the standard fixing process.

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