volumetric optionality model changes - - - - - - - - - - - - - - - - - - - - - - forwarded by zimin lu / hou / ect on 06 / 15 / 2000 08 : 19 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
natasha danilochkina
06 / 15 / 2000 05 : 26 am
to : david gallagher / lon / ect @ ect , peter crilly / lon / ect @ ect , richard
lewis / lon / ect @ ect , haakon olafsson / lon / ect @ ect , tony fricker / lon / ect @ ect ,
andrew fairley / lon / ect @ ect , matthew nicholas / lon / ect @ ect , david
redmond / lon / ect @ ect , steven mccarthy / lon / ect @ ect , dale surbey / lon / ect @ ect ,
matthew nimmo / lon / ect @ ect , matthew ferguson / lon / ect @ ect
cc : anjam ahmad / lon / ect @ ect , zimin lu / hou / ect @ ect , steven
leppard / lon / ect @ ect , stinson gibner / hou / ect @ ect
subject : volumetric optionality model changes
as a result of meetings with zimin lu ( houston research ) and anjam ahmad in
early june , the gas desk together with research will be revising the models
for pricing options on volume ( swing ) and similar products .
the idea is to have a consistent method that can be applied to all contracts .
this will affect :
flat price gas swing options
indexed gas swing options
j - block contract
modified thermbank contract
enbank ( virtual storage )
the new feature that will be introduced into all models is ability for
real - time mtm ( and prospectively - sensitivities calculations ) .
the work will be carried out as follows :
natasha danilochkina : problem definition , contracts / products summary ,
functional specification
anjam ahmad : zimin ' s model modifications / implementation and houston / london
interaction
start date : june 16 th , 2000
end date : tbc
volumetric optionality model changes
- - - - - - - - - - - - - - - - - - - - - - forwarded by zimin lu / hou / ect on 06 / 15 / 2000 08 : 19 am
- - - - - - - - - - - - - - - - - - - - - - - - - - -
natasha danilochkina
06 / 15 / 2000 05 : 26 am
to : david gallagher / lon / ect @ ect , peter crilly / lon / ect @ ect , richard
lewis / lon / ect @ ect , haakon olafsson / lon / ect @ ect , tony fricker / lon / ect @ ect ,
andrew fairley / lon / ect @ ect , matthew nicholas / lon / ect @ ect , david
redmond / lon / ect @ ect , steven mccarthy / lon / ect @ ect , dale surbey / lon / ect @ ect ,
matthew nimmo / lon / ect @ ect , matthew ferguson / lon / ect @ ect
cc : anjam ahmad / lon / ect @ ect , zimin lu / hou / ect @ ect , steven
leppard / lon / ect @ ect , stinson gibner / hou / ect @ ect
subject : volumetric optionality model changes
as a result of meetings with zimin lu ( houston research ) and anjam ahmad in
early june , the gas desk together with research will be revising the models
for pricing options on volume ( swing ) and similar products .
the idea is to have a consistent method that can be applied to all contracts .
this will affect :
flat price gas swing options
indexed gas swing options
j - block contract
modified thermbank contract
enbank ( virtual storage )
the new feature that will be introduced into all models is ability for
real - time mtm ( and prospectively - sensitivities calculations ) .
the work will be carried out as follows :
natasha danilochkina : problem definition , contracts / products summary ,
functional specification
anjam ahmad : zimin ' s model modifications / implementation and houston / london
interaction
start date : june 16 th , 2000
end date : tbc