Forward Curve Management Solution using ZEMA
Overwhelmed with manual and lengthy end of day processes related to forward curve management and integration with their downstream ETRM and BI tools, this client required a fully work flow system. After a rigorous RFP process, ZE PowerGroup was the successful proponent that was selected to meet their exhaustive needs using the ZEMA Suite of Products.
The client wanted a centralized repository and automated scheduling engine for the collection of their basis, correlation, volatility, spread, currency and interest rate curves and then be able to flag and validate those curves based on specific business rules. Moreover, the client needed to aggregate and analyze their internally generated forward curves and other market sources provided from financial, gas and oil data providers. For their own internally generated forward curves they needed a consistent extrapolation and shaping method for extending the forecasts several years out beyond the base market data availability.
Another major problem for the client was not only the inconsistencies and variations in naming conventions and contract codes between the different brokers but also the fact that their own ETRM system required specific naming and unit/currency mappings.
Within days of initiating the project, ZE PowerGroup installed its best of breed ZEMA Analyzer and ZEMA Data Manager applications. The two applications in tandem provided the client with full access to all their historical data, timely import of all their daily broker quotes and market data, access to the ZEMA visualization and analytical tool and the use of the ZEMA Excel Add-in. The following weeks allowed the client to perform their UAT and system testing while ZE PowerGroup helped to support broker/ETRM name mapping, development of internal business rules, generation of derivative curve and automation of information flow/integration of their business processes with their ETRM and SAS applications.
The client work flow was as follows:
1. Create one time vendor to ETRM name and currency/unit mapping
2. Configuration of data validation routines based on client business rules
3. Automated scheduling and centralization of broker quotes
4. Automated validation of imported data
5. Automated derivative curve generation based on business rules
6. Export of generated and raw forward curves
7. Import of forward curves to client ETRM system
8. Ongoing market analysis and visualization
9. Integration with their SAS application
Within the first 5 days, the core ZEMA Suite was implemented providing the client with the majority of the automation and functionality required and outlined in their RFP. Within then next month of activity our client had a completely automated work flow that initiated with the collection of broker quotes coming from FTP sites, web sites and emails all the way to full integration through our open architecture database with their ETRM systems. We were able to exceed their expectations due to the open and extremely flexible and modular design of the ZEMA suite allowing it to adapt rapidly to unique client requirements while at the same time using standard components.
On a side note, despite recent downsizing in staffing levels at this particular client site, the curve management process provided by the ZEMA suite continues to operate flawlessly and with minimal intervention providing the client with much needed business continuity and retention of corporate IP.