update on mg var model hi vince ,
thanks for the e - mail . we have included live links to price curves through
reuters quotes via telerate bridge but we still have static curves for gold
and cocoa . kirstee is talking to andreas in ny to obtain position files on a
daily basis , addressing point 2 ) in your e - mail , as well as looking into
longer term integration issues . cantekin and i have agreed the correct
correlations for the metals between us , but cantekin is currently checking
the correlations for silver and gold . preliminary results based on positions
as of 19 th july are as follows :
we noticed that position mapping at the front months can change var
significantly .
as you stated , kirstee hewitt will now be assuming responsibility for further
modifications to the model on the london side and to this end i have ensured
that kirstee is put in touch with key personnel like andreas ( andreas will be
in the london office next week ) and has access to all the information she
needs .
regards ,
anjam ahmad
research
x 35383
spreadsheet :
update on mg var model
hi vince ,
thanks for the e - mail . we have included live links to price curves through
reuters quotes via telerate bridge but we still have static curves for gold
and cocoa . kirstee is talking to andreas in ny to obtain position files on a
daily basis , addressing point 2 ) in your e - mail , as well as looking into
longer term integration issues . cantekin and i have agreed the correct
correlations for the metals between us , but cantekin is currently checking
the correlations for silver and gold . preliminary results based on positions
as of 19 th july are as follows :
we noticed that position mapping at the front months can change var
significantly .
as you stated , kirstee hewitt will now be assuming responsibility for further
modifications to the model on the london side and to this end i have ensured
that kirstee is put in touch with key personnel like andreas ( andreas will be
in the london office next week ) and has access to all the information she
needs .
regards ,
anjam ahmad
research
x 35383
spreadsheet :