re : vince ,
sorry for getting back a little late . i have been in touch with kirstee to
figure out how to treat positions data which is the primary cause for
fluctuations . apparently , as of 7 / 19 , mg still has july position . this may be
spot or balance of the month , or some settlement issue . this indeed is what
we are trying to find out / verify ( it may be an error too ) . kirstee is going
to get back to me on this . if it is not an error , then anjam ' s latest results
( $ 5 . 5 million total var ) are reasonable given all the assumptions and the
missing pieces . i will keep you posted .
cantekin
vince j kaminski
07 / 26 / 2000 10 : 12 am
to : cantekin dincerler / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , ted murphy / hou / ect @ ect
subject : re :
cantekin ,
can you figure out the reason for cocoa beans var fluctuations ?
the same is true of aluminum . i assume this is the position change .
vince
cantekin dincerler
07 / 26 / 2000 09 : 28 am
to : anjam ahmad / lon / ect @ ect , kirstee hewitt / lon / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject :
anjam and kirstee ,
as i have suspected the position as of 6 / 30 vs 7 / 19 makes the difference . the
first table first column is my var number with 6 / 30 position and gold & silver
prices , the second column is your var with 7 / 19 position and dummy
gold & silver prices . the second table first column is my var with 7 / 19
position and 6 / 30 gold & silver prices , the second column is as before .
i would ask you to plug the gold and silver prices and see what kind of
numbers you get in order to verify we are on the same page . please refer to
modelvar 2000 . xls that i have sent you for gold & silver prices and
volatilities .
thank you ,
cantekin
table 1
table 2
re :
vince ,
sorry for getting back a little late . i have been in touch with kirstee to
figure out how to treat positions data which is the primary cause for
fluctuations . apparently , as of 7 / 19 , mg still has july position . this may be
spot or balance of the month , or some settlement issue . this indeed is what
we are trying to find out / verify ( it may be an error too ) . kirstee is going
to get back to me on this . if it is not an error , then anjam ' s latest results
( $ 5 . 5 million total var ) are reasonable given all the assumptions and the
missing pieces . i will keep you posted .
cantekin
vince j kaminski
07 / 26 / 2000 10 : 12 am
to : cantekin dincerler / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , ted murphy / hou / ect @ ect
subject : re :
cantekin ,
can you figure out the reason for cocoa beans var fluctuations ?
the same is true of aluminum . i assume this is the position change .
vince
cantekin dincerler
07 / 26 / 2000 09 : 28 am
to : anjam ahmad / lon / ect @ ect , kirstee hewitt / lon / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject :
anjam and kirstee ,
as i have suspected the position as of 6 / 30 vs 7 / 19 makes the difference . the
first table first column is my var number with 6 / 30 position and gold & silver
prices , the second column is your var with 7 / 19 position and dummy
gold & silver prices . the second table first column is my var with 7 / 19
position and 6 / 30 gold & silver prices , the second column is as before .
i would ask you to plug the gold and silver prices and see what kind of
numbers you get in order to verify we are on the same page . please refer to
modelvar 2000 . xls that i have sent you for gold & silver prices and
volatilities .
thank you ,
cantekin
table 1
table 2