i finally was able to implement the new factors for power , now know as project x . if you have time , i would like to give you a down load on the work involved the last few months cleaning things up . overall var is reduced . i ' ve included some highlights below . ? changed correlation measure to fixed contract instead of using prompt price history
? extended factors out past prompt month to 24 months ( power only ) , ( previously was for prompt month only )
o repeating last 12 months ( seasonality ) for 120 months , and scaled by ff vol
? updated jumps from 1998 ( impacts intra month books )
o introduced regionally correlated jumps
? mapped f curves to appropriate r and b curves
? captured gas leg in spread option
? captured gas leg in heat rate swaps
? corrected incorrect curve codes and data input relating to risk type
( as of sept 24 )
trader old var new var
dana davis 2 . 9 1 . 8
east var 15 . 3 13 . 2
west var 14 10 . 4
canada 14 . 3 11 . 4
power total 35 30 . 8
additionally , items on our to do list for the future include :
1 . smoothing of ffvol curve
2 . introducing more factors to model ( 40 ) . ( improving correlations and decreasing var instability )
as an aside , we are looking at trying to introduce a fast fourier transformation to improve var modeling , allowing us to increase number and accuracy of simulations .
in closing , this project could not have been completed without the help of the stephen stock ' s it team , the power traders , tanya tamarchenko , jaesoo lew , stacey white , casey evans , naveen andrews , michael presley and donnie vinson .
i appreciate your patience , i realize it has been a long haul .
thanks ,
frank
i finally was able to implement the new factors for power , now know as project x . if you have time , i would like to give you a down load on the work involved the last few months cleaning things up . overall var is reduced . i ' ve included some highlights below .
? changed correlation measure to fixed contract instead of using prompt price history
? extended factors out past prompt month to 24 months ( power only ) , ( previously was for prompt month only )
o repeating last 12 months ( seasonality ) for 120 months , and scaled by ff vol
? updated jumps from 1998 ( impacts intra month books )
o introduced regionally correlated jumps
? mapped f curves to appropriate r and b curves
? captured gas leg in spread option
? captured gas leg in heat rate swaps
? corrected incorrect curve codes and data input relating to risk type
( as of sept 24 )
trader old var new var
dana davis 2 . 9 1 . 8
east var 15 . 3 13 . 2
west var 14 10 . 4
canada 14 . 3 11 . 4
power total 35 30 . 8
additionally , items on our to do list for the future include :
1 . smoothing of ffvol curve
2 . introducing more factors to model ( 40 ) . ( improving correlations and decreasing var instability )
as an aside , we are looking at trying to introduce a fast fourier transformation to improve var modeling , allowing us to increase number and accuracy of simulations .
in closing , this project could not have been completed without the help of the stephen stock ' s it team , the power traders , tanya tamarchenko , jaesoo lew , stacey white , casey evans , naveen andrews , michael presley and donnie vinson .
i appreciate your patience , i realize it has been a long haul .
thanks ,
frank