mg metals var preliminary modella - subject to minor updating / correcting
dear all ,
i am leaving the office now , and sending you the preliminary model la for mg
metals var that tanya , cantekin , kirstee have put together . we are now in a
position to look at the var by metal for positions as of 19 th july 2000 ,
subject to some data that needs updating / correcting ; we still need to update
some information / data flow processes as follows : -
i ) factor loadings for silver , gold , cocoa beans and tc ( treatment charge for
copper concentrate )
ii ) check correlations between nickel and alu and nickel and copper ( i got
different answers to houston )
iii ) ensure latest forward price curves are included ( perhaps through live
link to telerate / reuters )
iiia ) price for silver is wrong ( units should be $ per troy ounce ) , and
similarly for gold ( price should be $ per troy ounce ) , also we need cocoa
bean forward curve
iv ) find a better way to extract positional information from mg metals / link
to the spreadsheet in an automated fashion
v ) add " minor " metals like cobalt , palladium , platinum , cadmium etc . ( n . b . we
have 1 , 093 troy ounces of palladium short posn and 3 , 472 troy ounces platinum
long as of 19 th july )
please feel free to add to this list if i have missed anything ; i believe
that we have most of the bases covered in respect of issues to resolve ahead
of the deadline of 7 th august and fully expect that we will deliver .
regards ,
anjam ahmad
x 35383
spreadsheet :
p . s . the dll the spreadsheet requires is in
o : \ research \ common \ from _ vsh \ value @ risk \ ccode \ debug \ varcsnl . dll - > most of you
have access to this .
mg metals var preliminary modella - subject to minor
updating / correcting
dear all ,
i am leaving the office now , and sending you the preliminary model la for mg
metals var that tanya , cantekin , kirstee have put together . we are now in a
position to look at the var by metal for positions as of 19 th july 2000 ,
subject to some data that needs updating / correcting ; we still need to update
some information / data flow processes as follows : -
i ) factor loadings for silver , gold , cocoa beans and tc ( treatment charge for
copper concentrate )
ii ) check correlations between nickel and alu and nickel and copper ( i got
different answers to houston )
iii ) ensure latest forward price curves are included ( perhaps through live
link to telerate / reuters )
iiia ) price for silver is wrong ( units should be $ per troy ounce ) , and
similarly for gold ( price should be $ per troy ounce ) , also we need cocoa
bean forward curve
iv ) find a better way to extract positional information from mg metals / link
to the spreadsheet in an automated fashion
v ) add " minor " metals like cobalt , palladium , platinum , cadmium etc . ( n . b . we
have 1 , 093 troy ounces of palladium short posn and 3 , 472 troy ounces platinum
long as of 19 th july )
please feel free to add to this list if i have missed anything ; i believe
that we have most of the bases covered in respect of issues to resolve ahead
of the deadline of 7 th august and fully expect that we will deliver .
regards ,
anjam ahmad
x 35383
spreadsheet :
p . s . the dll the spreadsheet requires is in
o : \ research \ common \ from _ vsh \ value @ risk \ ccode \ debug \ varcsnl . dll - > most of you
have access to this .