re : factor loadings for primary curves tanya ,
i went through the comparisons for the liquids curves and the
appearance of clear parallel shifts , etc , do begin to emerge when fewer
forward prices are used . it looks sensible . i have passed the graphs over
to the liquids people , and i have asked them to identify rough term structure
months when illiquidity begins for these curves . it might coincide with your
assumptions . i am surprised by brent and dubai , which should be wti - clones .
naveen
tanya tamarchenko @ ect
10 / 04 / 2000 04 : 35 pm
to : naveen andrews / corp / enron @ enron , vladimir gorny / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect
subject : re : factor loadings for primary curves
naveen & vlady ,
jin yu finished debugging the vatrfacs code and now it calculates factor
loadings for every " primary " curve ( except power curves ) .
i am sending you the calculated factors :
most of them don ' t look good . 60 forward prices were used in calculations for
each commodity .
i reran the code using fewer forward prices depending on the commodity
( 12 prices for c 3 gc , mtbe , nc 4 , so 2 ,
17 prices for nxho , 18 - for sa ,
24 for c 2 gc , lax _ jfk , ,
30 - for condensate , dubaicrude , brent , ,
48 for nsw , semichem - risi )
these results are in
most of them look much better .
please , review .
we will have to add a column in rms _ main _ curve _ list to specify how many
forward prices we want to use for each commodity ,
and then use the new factors in the var model .
tanya .
re : factor loadings for primary curves
tanya ,
i went through the comparisons for the liquids curves and the
appearance of clear parallel shifts , etc , do begin to emerge when fewer
forward prices are used . it looks sensible . i have passed the graphs over
to the liquids people , and i have asked them to identify rough term structure
months when illiquidity begins for these curves . it might coincide with your
assumptions . i am surprised by brent and dubai , which should be wti - clones .
naveen
tanya tamarchenko @ ect
10 / 04 / 2000 04 : 35 pm
to : naveen andrews / corp / enron @ enron , vladimir gorny / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect
subject : re : factor loadings for primary curves
naveen & vlady ,
jin yu finished debugging the vatrfacs code and now it calculates factor
loadings for every " primary " curve ( except power curves ) .
i am sending you the calculated factors :
most of them don ' t look good . 60 forward prices were used in calculations for
each commodity .
i reran the code using fewer forward prices depending on the commodity
( 12 prices for c 3 gc , mtbe , nc 4 , so 2 ,
17 prices for nxho , 18 - for sa ,
24 for c 2 gc , lax _ jfk , ,
30 - for condensate , dubaicrude , brent , ,
48 for nsw , semichem - risi )
these results are in
most of them look much better .
please , review .
we will have to add a column in rms _ main _ curve _ list to specify how many
forward prices we want to use for each commodity ,
and then use the new factors in the var model .
tanya .