re : uk portfolios and books setup in risktrac tanya ,
we have checked the risktrac system and
( 1 ) the spreadoption , and other , mappings in risktrac are correct . ie ,
els 1 b has both power ( ppp ) and gas ( nbp ) and the deltas / gammas tie out . the
lolp and smp mappings all tie out .
( 2 ) however , the uk power in risktrac has 25 twh more of power . this has
something to do with the enpower - risktrac communication .
( 3 ) uk - gas positions tie out in aggregate ( off by a single bcf )
for var discrepancies , other than positions , the following will contrbute
( 1 ) in risktrac power is mapped to r 4 ( cinergy ) while in the spreadsheet it
is us - ng .
( 2 ) gas - power and efa - efa correlations are different .
matthew is coordinating with oliver and london it to resolve the position
issues .
naveen
tanya tamarchenko @ ect
01 / 03 / 2001 02 : 09 pm
to : naveen andrews / corp / enron @ enron , matthew adams / corp / enron @ enron
cc : rabi de / na / enron @ enron , jaesoo lew / na / enron @ enron , vince j
kaminski / hou / ect @ ect
subject : re : uk portfolios and books setup in risktrac
naveen and matthew ,
i started looking systematically through uk positions and corresponding var
numbers in the risckrac .
i found a few inconsistencies so far .
1 . the portfolio elsb 1 - nbp has a book elsb 1 under it . the sum of delta
positions for this book is
239 , 021 , 655 , the sum of gamma positions is - 211 , 031 , 450 . var for the
portfolio elsb 1 - nbp is zero .
the same refers to a few other portfolios , for example elsb 2 - nbp , elsb 3 - nbp ,
e 2 xxl - nbp .
2 . the portfolio elsbp 1 - ppp also has the book elsb 1 under it . this book
contains the positions on pppwdl
through pppwd 6 and pppwel through pppwe 4 .
the same refers to the other books , for example elsb 2 .
this looks messy . can someone in rac go over all the portfolios , all the
corresponding books and curves
in risktrac and make sure they are set up properly ?
thank you ,
tanya .
re : uk portfolios and books setup in risktrac
tanya ,
we have checked the risktrac system and
( 1 ) the spreadoption , and other , mappings in risktrac are correct . ie ,
els 1 b has both power ( ppp ) and gas ( nbp ) and the deltas / gammas tie out . the
lolp and smp mappings all tie out .
( 2 ) however , the uk power in risktrac has 25 twh more of power . this has
something to do with the enpower - risktrac communication .
( 3 ) uk - gas positions tie out in aggregate ( off by a single bcf )
for var discrepancies , other than positions , the following will contrbute
( 1 ) in risktrac power is mapped to r 4 ( cinergy ) while in the spreadsheet it
is us - ng .
( 2 ) gas - power and efa - efa correlations are different .
matthew is coordinating with oliver and london it to resolve the position
issues .
naveen
tanya tamarchenko @ ect
01 / 03 / 2001 02 : 09 pm
to : naveen andrews / corp / enron @ enron , matthew adams / corp / enron @ enron
cc : rabi de / na / enron @ enron , jaesoo lew / na / enron @ enron , vince j
kaminski / hou / ect @ ect
subject : re : uk portfolios and books setup in risktrac
naveen and matthew ,
i started looking systematically through uk positions and corresponding var
numbers in the risckrac .
i found a few inconsistencies so far .
1 . the portfolio elsb 1 - nbp has a book elsb 1 under it . the sum of delta
positions for this book is
239 , 021 , 655 , the sum of gamma positions is - 211 , 031 , 450 . var for the
portfolio elsb 1 - nbp is zero .
the same refers to a few other portfolios , for example elsb 2 - nbp , elsb 3 - nbp ,
e 2 xxl - nbp .
2 . the portfolio elsbp 1 - ppp also has the book elsb 1 under it . this book
contains the positions on pppwdl
through pppwd 6 and pppwel through pppwe 4 .
the same refers to the other books , for example elsb 2 .
this looks messy . can someone in rac go over all the portfolios , all the
corresponding books and curves
in risktrac and make sure they are set up properly ?
thank you ,
tanya .