Method and device for calculating a forward price for using...

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Reexamination Certificate

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Reexamination Certificate

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07546258

ABSTRACT:
The invention relates to a method for calculating in a network that comprises links a joint distribution of forward prices for using the links in the network. The method comprises the following steps:a) a provision step for providing an observed forward price of a forward contract for each of the links,b) a determination step for deriving from the observed forward prices a proposed joint distribution of forward prices by applying a forward pricing process to each of the links, thereby generating a geographical arbitrage in the network;c) an arbitrage reduction step for reducing the geographical arbitrage in the proposed joint distribution of forward prices by a geographical arbitrage reduction value;d) a verification step for verifying if the proposed joint distribution of forward prices together with the observed forward prices has a defined property in response to the determination step and the arbitrage reduction step;if the verification step results in the defined property being not presente) a generation step for generating a property reduction value;repeating the determination step, the arbitrage reduction step and the verification step, applying the property reduction value to the forward pricing process of each of the links.

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