re : jcc kevin ,
thanks for the heads - up . i ' m doing face - time with a customer on wednesday ,
but i ' m in all day tomorrow , thursday and friday ( i ' ve a got a deadline to
meet this pm ) . when would it be convenient to meet , and could we do it early
in the morning so as to be able to conference ansguman srivastav ( enron
india ) into the meeting ?
regards ,
marc
kevin kindall @ enron
10 / 30 / 2000 10 : 55 am
to : marc de la roche / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , stinson gibner / hou / ect @ ect
subject : jcc
good morning . i apologize for the response delay . i ' ve gone back through
the analysis that i did back in april , and have thrown around some ideas with
vince and stinson . the issue may be summarized as follows .
the hedge relationship was derived using jcc and prompt brent , and is valid
for jcc and prompt brent . no problems here . however , it will not be valid
for points far out on the forward curve . intuitively , this hedge
relationship will approach one as we move far out on the curve , but since
there is no data , i can not statistically determine this . one can imagine a
term structure of heding ratios that start at 0 . 67 and move to 1 . 0 , so that
the back end of the curves would move together , but how fast it converges to
one is anyone ' s guess .
if there is a way of determining the historical jcc forward curve , then the
hedge relationships may be estimated . however , i have been unable to
determine a rigorous approach to building the jcc curve .
i can explain this far better in person , and would like to talk as soon as
possible at your convenience .
- kevin kindall
re : jcc
kevin ,
thanks for the heads - up . i ' m doing face - time with a customer on wednesday ,
but i ' m in all day tomorrow , thursday and friday ( i ' ve a got a deadline to
meet this pm ) . when would it be convenient to meet , and could we do it early
in the morning so as to be able to conference ansguman srivastav ( enron
india ) into the meeting ?
regards ,
marc
kevin kindall @ enron
10 / 30 / 2000 10 : 55 am
to : marc de la roche / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , stinson gibner / hou / ect @ ect
subject : jcc
good morning . i apologize for the response delay . i ' ve gone back through
the analysis that i did back in april , and have thrown around some ideas with
vince and stinson . the issue may be summarized as follows .
the hedge relationship was derived using jcc and prompt brent , and is valid
for jcc and prompt brent . no problems here . however , it will not be valid
for points far out on the forward curve . intuitively , this hedge
relationship will approach one as we move far out on the curve , but since
there is no data , i can not statistically determine this . one can imagine a
term structure of heding ratios that start at 0 . 67 and move to 1 . 0 , so that
the back end of the curves would move together , but how fast it converges to
one is anyone ' s guess .
if there is a way of determining the historical jcc forward curve , then the
hedge relationships may be estimated . however , i have been unable to
determine a rigorous approach to building the jcc curve .
i can explain this far better in person , and would like to talk as soon as
possible at your convenience .
- kevin kindall