Using Shortcuts for Electricity Assets, Coal Assets and NBP UK Natural Gas

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Using Shortcuts for Electricity Assets, Coal Assets and NBP UK Natural Gas

When defining an instrument on electricity assets, coal assets or NBP UK Natural gas, instead of manually entering the underlying contract you instead set it using a shortcut in the Underlying Forward Contract.

Once you have set it, the underlying future, the expiry date and the actual delivery period are then set by the system according to the defined shortcut in conjunction with market convention.

You can enter a shortcut for either of the following:

Calendar date

Besides the shortcuts listed below, you can also enter any valid calendar date, such as Jul9, Jul09, Jul 09, Jul2009.

For the NordPool electricity asset and for the coal assets, market data for the ATM volatility and forward rates is only displayed if the calendar date is in the Future Contract column in the Term Structure page.

Rolling date

This gives the delivery period that is the defined period from the trade date.

The following shortcuts are available:

Table 1: Shortcuts for electricity assets, coal assets and NBP UK Natural Gas
Shortcut	Where the delivery is...	So if the trade date is 16 December 2008 and you enter...
Mx	the xth month after the trade date	M3, then the instrument's delivery period is 1 March 2009 until 31 March 2009.
Qx	the xth quarter after the trade date	Q2, then the instrument's delivery period is 1 April 2008 to 30 June 2009.
Qxxx	the defined quarter of the defined year	Q410, then the instrument's delivery period 1 October until 31 Dec 2010.
WINx or Wx	the xth winter after the trade date	WIN1 or W1, then the instrument's delivery period is 1 October 2009 until 31 March 2010.
WINxx or Wxx	the defined winter (which is October 1 of the specified year to the following March 31)	WIN10 or W10, then the instrument's delivery period is 1 October 2010 until 31 March 2011.
SUMx or Sx	the xth summer after the trade date	SUM1 or S1, then the instrument's delivery period is 1 April 2009 until 30 September 2009.
SUMxx or Sxx	the defined summer (which is April 1 to September 30) of the specified year	SUM10 or S10, then the instrument's delivery period is 1 April 2010 until 30 September 2010.
Yx	the xth calendar year after the trade date	Y3, then the instrument's delivery period is 1 January 2011 until 31 December 2011.
CALxx	the defined year, where xx is the last two digits of the calendar year	CAL11, then the instrument's delivery period is 1 January 2011 until 31 December 2011.