re : new powermod 97 . xls marty :
absolutely yes ! we are now using option functions in the exotic options
library ( in r : \ exotica which everybody in risk management has access to )
instead of the old visual basic code in the powermod file . this improved the
calculation speed for options quite a bit .
we are also embarking on a new project to develop the next generation
structuring and pricing models . i will discuss about this project in more
detail with you soon and get your input , but the main goals i see now are :
1 . superior performance ( speed ) to enable fast pricing especially for the
underwriting group ,
2 . proper documentation for easy maintenance and ability to quickly adapt to
meet future needs , and
3 . security / access control to the files .
the first stage in this process is to take inventory of what we have : i am
documenting the current structuring models . this step is important not only
for developing our next generation models but also for the aa audit of all
the ees pricing models .
krishna .
to : maureen craig / hou / ees @ ees , pinnamaneni krishnarao / hou / ect @ ect , dennis
benevides / hou / ees @ ees
cc :
subject : new powermod 97 . xls
any performance improvement to be expected ?
- - - - - - - - - - - - - - - - - - - - - - forwarded by marty sunde / hou / ees on 07 / 26 / 2000 10 : 14
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
pinnamaneni krishnarao @ ect
07 / 24 / 2000 01 : 37 pm
to : dennis benevides / hou / ees @ ees , james w lewis / hou / ees @ ees , neil
hong / hou / ees @ ees
cc : marty sunde / hou / ees @ ees , alexios kollaros / hou / ees @ ees
subject : new powermod 97 . xls
we have made enhancements to powermod 97 . xls model to enable proper processing
from the batch model . these changes should not affect current functionality
of this file . we will be putting the new version into production later today .
please contact me or alex kollaros ( x 39806 ) with your comments or problems .
thanks ,
krishna
x 35485 .
re : new powermod 97 . xls
marty :
absolutely yes ! we are now using option functions in the exotic options
library ( in r : \ exotica which everybody in risk management has access to )
instead of the old visual basic code in the powermod file . this improved the
calculation speed for options quite a bit .
we are also embarking on a new project to develop the next generation
structuring and pricing models . i will discuss about this project in more
detail with you soon and get your input , but the main goals i see now are :
1 . superior performance ( speed ) to enable fast pricing especially for the
underwriting group ,
2 . proper documentation for easy maintenance and ability to quickly adapt to
meet future needs , and
3 . security / access control to the files .
the first stage in this process is to take inventory of what we have : i am
documenting the current structuring models . this step is important not only
for developing our next generation models but also for the aa audit of all
the ees pricing models .
krishna .
to : maureen craig / hou / ees @ ees , pinnamaneni krishnarao / hou / ect @ ect , dennis
benevides / hou / ees @ ees
cc :
subject : new powermod 97 . xls
any performance improvement to be expected ?
- - - - - - - - - - - - - - - - - - - - - - forwarded by marty sunde / hou / ees on 07 / 26 / 2000 10 : 14
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
pinnamaneni krishnarao @ ect
07 / 24 / 2000 01 : 37 pm
to : dennis benevides / hou / ees @ ees , james w lewis / hou / ees @ ees , neil
hong / hou / ees @ ees
cc : marty sunde / hou / ees @ ees , alexios kollaros / hou / ees @ ees
subject : new powermod 97 . xls
we have made enhancements to powermod 97 . xls model to enable proper processing
from the batch model . these changes should not affect current functionality
of this file . we will be putting the new version into production later today .
please contact me or alex kollaros ( x 39806 ) with your comments or problems .
thanks ,
krishna
x 35485 .