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Separate Nomination Dates From Delivery Dates

Open cmdty opened this issue 2 years ago • 0 comments

Currently the model assumes that injection/withdrawal nomination occurs in the same time period as delivery. In reality virtual storage deals could enforce nomination to be on the previous business day, for example the weekend volume is nominated on Friday.

The storage object needs to be enriched to encapsulate the set of nomination dates, plus a mapping to the delivery dates each nomination date corresponds to. The valuation code will also need to be updated to simulate not just the spot price, but the prompt forward prices for nomination delivery dates as of the nomination date.

cmdty avatar Oct 31 '23 10:10 cmdty