fea announces the release of @ energy 2 . 1 . 05 / 14 / 2001
enron north america corp .
vince kaminski
1400 smith street
30 th floor , rm . 3036 b
houston , tx 77251 - 1188
1 713 - 853 - 3848
dear vince kaminski ,
this is to inform you of the release of @ energy 2 . 1 . ftp download
instructions are available immediately . the download instructions are
included at the end of this email . please see below for more information
regarding this new release . .
fea is pleased to enclose your new version of @ energy / erglib . the
accompanying documentation contains installation and other information .
here is an overview of the new and changed features since version 2 . 0 .
@ energy ( forward curve ) no change .
@ energy ( basics ) a control variate methodology hull ( 1997 ) has been
implemented for valuation of american options ( opt ) , black and
mean - reverting models . it greatly improves accuracy at minimal cost in
speed . all models now supports new scalar risk measures corresponding to
parallel displacement delta , hedge , and gamma . average price / strike options
now support an alternative way of computing theta . the definition of gamma
curves has been modified for all models .
@ energy ( advanced ) a faster and more accurate methodology is used to value
spread options . models affected are spreadopt , stripspreadopt , optspreadopt ,
optstripspreadopt . the new methodology dramatically improves speed . all
models now supports new scalar risk measures corresponding to parallel
displacement delta , hedge , and gamma . average price / strike options now
support an alternative way of computing theta . the definition of gamma
curves has been modified for all models .
@ energy ( swing ) the definition of gamma curves has been modified for all
models .
@ energy ( weather ) no change .
see the file fea \ energy \ ergnote . txt in your distribution for a list of bug
fixes .
here is an overview of the new and changed features since version 1 . 6 .
@ energy ( forward curve )
jump parameters are now calibrated for use in other @ energy functions .
inputs and outputs to powercalib and comcalib have changed . see the
corresponding function syntax in the user guide for additional information .
35 - 40 % speed improvement . the module is now out of beta .
@ energy ( basics )
different interpolation schemes on forward prices are now supported . if you
use indexswap , exoticswap , or optindexswap with floating price linked to a
series of futures dates , such futures dates need not be close to dates
specified in the forward curve input . a new utility function , pathutil ,
allows you to simulate and visualize price paths consistent with the models
supported by @ energy . 25 - 30 % speed improvement .
@ energy ( advanced )
different interpolation schemes on forward prices are now supported . if you
use optdiffswap or diffswap with floating price linked to a series of
futures dates , such futures dates need not be close to dates specified in
the forward curve input . calspreadopt now allows for the specification of
two different mean reversion rates . 30 - 35 % speed improvement .
@ energy ( swing )
swingopt and stripswingopt now allow for valuation of swing straddle
contracts with overall load constraints . 65 - 70 % speed improvement . the
module is now out of beta .
@ energy ( weather )
30 - 35 % speed improvement .
see the file fea \ energy \ ergnote . txt in your distribution for a list of bug
fixes .
if you are a user of the erglib library , please be aware of possible
backward compatibility issues in calls to eapo , easo , espreadapo ,
espreadaso , and ecrackapo . see fea \ energy \ ergnote . txt for additional
details .
here is an overview of the new and changed features since version 1 . 5 .
@ energy ( basics )
european options and strips of european options now support valuation via a
jump diffusion model ( see opt and stripopt functions ) . average price options
( see the apo , spreadapo , crackapo functions ) , and average strike options
( see the aso , spreadaso functions ) now allow for a direct input of the
fixing dates .
@ energy ( advanced )
includes two new functions , optstripopt and optstripspreadopt for valuation
of complex compound options .
if you are a user of the erglib library , please be aware of backward
compatibility issues in calls to eapo , easo , espreadapo , espreadaso , and
ecrackapo . see fea \ energy \ ergnote . txt for additional details .
here is an overview of the new and changed features since version 1 . 4 .
@ energy ( forward curve )
@ energy ( forward curve ) is the new module which includes functions designed
to generate forward curves , volatility curves and mean reversion rates used
in many other @ energy functions . module in beta release .
@ energy ( basics )
apo ' s and aso ' s : bug fixed when avg _ starts prompt .
type " quit " .
the file will be downloaded into the directory at which you entered the ftp
site .
double click on the exe and follow the instructions on the screen .
there is also a readme file which contains installation instructions .
you may wish to print this out for easy reference .
n . b . : the password is only valid until the first friday of next month .
if you have any questions please feel free to contact us . we appreciate this
opportunity to be of continuing service to enron north america corp . .
regards ,
erin hopkins
administrative assistant
financial engineering associtates , inc .
tel : + 1 . 510 . 548 . 6200
mailto : info @ fea . com
or
mailto : support @ fea . com
fea announces the release of @ energy 2 . 1 .
05 / 14 / 2001
enron north america corp .
vince kaminski
1400 smith street
30 th floor , rm . 3036 b
houston , tx 77251 - 1188
1 713 - 853 - 3848
dear vince kaminski ,
this is to inform you of the release of @ energy 2 . 1 . ftp download
instructions are available immediately . the download instructions are
included at the end of this email . please see below for more information
regarding this new release . .
fea is pleased to enclose your new version of @ energy / erglib . the
accompanying documentation contains installation and other information .
here is an overview of the new and changed features since version 2 . 0 .
@ energy ( forward curve ) no change .
@ energy ( basics ) a control variate methodology hull ( 1997 ) has been
implemented for valuation of american options ( opt ) , black and
mean - reverting models . it greatly improves accuracy at minimal cost in
speed . all models now supports new scalar risk measures corresponding to
parallel displacement delta , hedge , and gamma . average price / strike options
now support an alternative way of computing theta . the definition of gamma
curves has been modified for all models .
@ energy ( advanced ) a faster and more accurate methodology is used to value
spread options . models affected are spreadopt , stripspreadopt , optspreadopt ,
optstripspreadopt . the new methodology dramatically improves speed . all
models now supports new scalar risk measures corresponding to parallel
displacement delta , hedge , and gamma . average price / strike options now
support an alternative way of computing theta . the definition of gamma
curves has been modified for all models .
@ energy ( swing ) the definition of gamma curves has been modified for all
models .
@ energy ( weather ) no change .
see the file fea \ energy \ ergnote . txt in your distribution for a list of bug
fixes .
here is an overview of the new and changed features since version 1 . 6 .
@ energy ( forward curve )
jump parameters are now calibrated for use in other @ energy functions .
inputs and outputs to powercalib and comcalib have changed . see the
corresponding function syntax in the user guide for additional information .
35 - 40 % speed improvement . the module is now out of beta .
@ energy ( basics )
different interpolation schemes on forward prices are now supported . if you
use indexswap , exoticswap , or optindexswap with floating price linked to a
series of futures dates , such futures dates need not be close to dates
specified in the forward curve input . a new utility function , pathutil ,
allows you to simulate and visualize price paths consistent with the models
supported by @ energy . 25 - 30 % speed improvement .
@ energy ( advanced )
different interpolation schemes on forward prices are now supported . if you
use optdiffswap or diffswap with floating price linked to a series of
futures dates , such futures dates need not be close to dates specified in
the forward curve input . calspreadopt now allows for the specification of
two different mean reversion rates . 30 - 35 % speed improvement .
@ energy ( swing )
swingopt and stripswingopt now allow for valuation of swing straddle
contracts with overall load constraints . 65 - 70 % speed improvement . the
module is now out of beta .
@ energy ( weather )
30 - 35 % speed improvement .
see the file fea \ energy \ ergnote . txt in your distribution for a list of bug
fixes .
if you are a user of the erglib library , please be aware of possible
backward compatibility issues in calls to eapo , easo , espreadapo ,
espreadaso , and ecrackapo . see fea \ energy \ ergnote . txt for additional
details .
here is an overview of the new and changed features since version 1 . 5 .
@ energy ( basics )
european options and strips of european options now support valuation via a
jump diffusion model ( see opt and stripopt functions ) . average price options
( see the apo , spreadapo , crackapo functions ) , and average strike options
( see the aso , spreadaso functions ) now allow for a direct input of the
fixing dates .
@ energy ( advanced )
includes two new functions , optstripopt and optstripspreadopt for valuation
of complex compound options .
if you are a user of the erglib library , please be aware of backward
compatibility issues in calls to eapo , easo , espreadapo , espreadaso , and
ecrackapo . see fea \ energy \ ergnote . txt for additional details .
here is an overview of the new and changed features since version 1 . 4 .
@ energy ( forward curve )
@ energy ( forward curve ) is the new module which includes functions designed
to generate forward curves , volatility curves and mean reversion rates used
in many other @ energy functions . module in beta release .
@ energy ( basics )
apo ' s and aso ' s : bug fixed when avg _ starts prompt .
type " quit " .
the file will be downloaded into the directory at which you entered the ftp
site .
double click on the exe and follow the instructions on the screen .
there is also a readme file which contains installation instructions .
you may wish to print this out for easy reference .
n . b . : the password is only valid until the first friday of next month .
if you have any questions please feel free to contact us . we appreciate this
opportunity to be of continuing service to enron north america corp . .
regards ,
erin hopkins
administrative assistant
financial engineering associtates , inc .
tel : + 1 . 510 . 548 . 6200
mailto : info @ fea . com
or
mailto : support @ fea . com