How are Peak / Off Peak Forwards derived from futures?

Calculating wholesale forwards is the process of using wholesale Peak and Base futures to determine the Off Peak price. Forward prices are automatically calculated updated when new futures prices are uploaded

Off Peak Calculation Process

Step 1: calculate the contract sizes

Each future is created with a temporal expression which we use to determine the number of hours (contract size) in the contract period.

Step 2: calculate the contract values

Use the contract size and price to calculate the Base contract value, and the Peak contract value.

Value = price * contractSize

Step 3: calculate the off peak contact size and value

Off peak contract size = Base contract size - Peak contract size.

Off peak contract value = Base contract value - Peak contract value

Step 4: calculate the off peak price

Now we can reverse engineer the off peak price:

Off peak price = Base contract value - Base contract size

Example excel workings:

How are Peak contract hours calculated?

Each price in the contract has a date range and a specification. Factor converts use the contract specification (e.g. Monday to Friday 7am to 10pm excluding public holidays) into a temporal expression.

This expression can be used to calculate the number of peak hours in the contract period.