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Quant ideas: Building a better LNG forward curve

An overview of effective methods for constructing long-term LNG forward price curves

Natural gas storage tank
Constructing forward curves that extend beyond the observable horizon

Price transparency in the global liquefied natural gas (LNG) forward markets has improved over the past few years, with price reporting agencies and brokers now providing price assessments for the major LNG markets. However, these assessments are generally limited to spot price levels, with the notable exception of certain trading locations in northeast Asia, where forward price quotes are available up to a two-year horizon. An additional problem is that even for northeast Asia, quotes beyond

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