re : releasing different versions of vatrfacs code winston and jin ,
for last half year the following developments were implemented by jin for
vatrfacs code
( the calibration code for var ) :
1 . weighting the log - returns with exponential decay factor while calculating
correlations ;
2 . calculating factors and correlations for uk curves ;
3 . joint estimation of factor loading for selected groups of commodities ;
4 . alternative method for collecting historical data for correlations
calculation
( based on fixed contract instead of collecting prompt , prompt + 1 , etc . prices )
in order to release these developments research has to have each version under
clearcase . then we will :
1 . run vatrfacs code in stage environment ( stage has been refreshed
recently ) .
2 . run var code in stage and validate the results .
it is time to start releasing these 4 versions . projects 3 and 4 require some
experimental runs
in stage . a few traders ( in gas , power and liquids markets ) are expecting the
results .
meanwhile the following developments have been suggested by reseach , approved
by risk control ,
submitted to it as spreadsheet prototypes and waiting in line :
1 . volatility blending for intramonth power positions ;
2 . forward volatility smoothing and extracting forward forward volatilities ;
hope we can follow our procedures to make all these developments go smoothly
and efficiently .
tanya .
re : releasing different versions of vatrfacs code
winston and jin ,
for last half year the following developments were implemented by jin for
vatrfacs code
( the calibration code for var ) :
1 . weighting the log - returns with exponential decay factor while calculating
correlations ;
2 . calculating factors and correlations for uk curves ;
3 . joint estimation of factor loading for selected groups of commodities ;
4 . alternative method for collecting historical data for correlations
calculation
( based on fixed contract instead of collecting prompt , prompt + 1 , etc . prices )
in order to release these developments research has to have each version under
clearcase . then we will :
1 . run vatrfacs code in stage environment ( stage has been refreshed
recently ) .
2 . run var code in stage and validate the results .
it is time to start releasing these 4 versions . projects 3 and 4 require some
experimental runs
in stage . a few traders ( in gas , power and liquids markets ) are expecting the
results .
meanwhile the following developments have been suggested by reseach , approved
by risk control ,
submitted to it as spreadsheet prototypes and waiting in line :
1 . volatility blending for intramonth power positions ;
2 . forward volatility smoothing and extracting forward forward volatilities ;
hope we can follow our procedures to make all these developments go smoothly
and efficiently .
tanya .