Equity/Commodity Forward Curve Related Functions

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Constructor Functions

Excel: =McpForwardCurve2(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpForwardCurve2(*args)

• Function: Constructs a two-sided commodity forward curve.
• Parameters:
  • args1~args5 or *args: Parameter groups.
  • ReferenceDate: Trading or valuation date.
  • ExpiryDates: Array of expiry dates.
  • BidUnderlyingRates: Array of bid-side prices.
  • AskUnderlyingRates: Array of ask-side prices.
  • InterpolationMethod: Interpolation method (default LINEARINTERPOLATION).
  • fmt: Data format (default VP|HD),Excel-specific parameters.
• Returns: Two-sided commodity forward curve object.

Excel: =McpForwardCurve(args1, args2, args3, args4, args5, fmt='VP|HD')

Python: McpForwardCurve(*args)

• Function: Constructs a one-sided commodity forward curve.
• Parameters:
  • args1~args5 or *args: Parameter groups.
  • ReferenceDate: Trading or valuation date.
  • ExpiryDates: Array of expiry dates.
  • UnderlyingRates: Array of prices.
  • InterpolationMethod: Interpolation method (default LINEARINTERPOLATION).
  • fmt: Data format (default VP|HD),Excel-specific parameters.
• Returns: One-sided commodity forward curve object.

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Equity/Commodity Utility Functions

Excel: =ForwardCurve2GetSpot(Curve, BidMidAsk)

• Function: Retrieves the spot price for the specified direction from a two-sided commodity forward curve.
• Parameters:
  • Curve: Two-sided commodity forward curve object.
  • BidMidAsk: Specified direction (bid, mid, or ask).
• Returns: Spot price for the specified direction.

Excel: =ForwardCurveGetSpot(Curve)

• Function: Retrieves the spot price from a one-sided commodity forward curve.
• Parameters:
  • Curve: One-sided commodity forward curve object.
• Returns: Spot price.

Excel: =ForwardCurve2GetForward(Curve, Date, BidMidAsk)

• Function: Retrieves the forward price for the specified date and direction from a two-sided commodity forward curve.
• Parameters:
  • Curve: Two-sided commodity forward curve object.
  • Date: Target date.
  • BidMidAsk: Specified direction (bid, mid, or ask).
• Returns: Forward price for the specified direction.

Excel: =ForwardCurveGetForward(Curve, Date)

• Function: Retrieves the forward price for the specified date from a one-sided commodity forward curve.
• Parameters:
  • Curve: One-sided commodity forward curve object.
  • Date: Target date.
• Returns: Forward price.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP or VP|HD.
2. Enumeration Values: Some parameters (e.g., InterpolationMethod) are enumeration values and should refer to specific definitions.
3. Default Values: Parameters not explicitly stated usually have default values and can be adjusted as needed.