re : transport model ken and greg ,
the gamma and cross gamma from our spread option appear to be correct .
one anomaly i found is the price change as function of maturity , see attached
figure .
it is odd , isn ' t it ? and the seeming gamma anomaly is largely because of
this .
zimin
enron north america corp .
from : kenneth shulklapper 08 / 07 / 2000 11 : 40 am
to : zimin lu / hou / ect @ ect
cc :
subject : transport model
zimin ,
i have been looking at the new transport model and there are some returns in
the greek calculations that i am not comfortable with . i have looked through
the formulas and do not see inconsistencies , but we are getting significantly
higher gamma values in ' out years ' than in the ' near months / years ' . rho also
seems to be very high throughout the curve . we are prepared to release this
model to be used on the floor , but would like you to sign off on the
calculations . i know that you have a meeting on this on wednesday , and
wanted to get you the model to review early .
a good example that i am talking about is on the tab " longterm 9 " . this is
the kingsgate to malin deal that we worked on previously .
please give me ( or greg couch ) a call with any questions .
thanks .
ken
3 - 7009
- - - - - - - - - - - - - - - - - - - - - - forwarded by kenneth shulklapper / hou / ect on 08 / 07 / 2000
10 : 58 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron north america corp .
from : victor guggenheim 08 / 07 / 2000 10 : 54 am
to : kenneth shulklapper / hou / ect @ ect
cc :
subject : transport model
re : transport model
ken and greg ,
the gamma and cross gamma from our spread option appear to be correct .
one anomaly i found is the price change as function of maturity , see attached
figure .
it is odd , isn ' t it ? and the seeming gamma anomaly is largely because of
this .
zimin
enron north america corp .
from : kenneth shulklapper 08 / 07 / 2000 11 : 40 am
to : zimin lu / hou / ect @ ect
cc :
subject : transport model
zimin ,
i have been looking at the new transport model and there are some returns in
the greek calculations that i am not comfortable with . i have looked through
the formulas and do not see inconsistencies , but we are getting significantly
higher gamma values in ' out years ' than in the ' near months / years ' . rho also
seems to be very high throughout the curve . we are prepared to release this
model to be used on the floor , but would like you to sign off on the
calculations . i know that you have a meeting on this on wednesday , and
wanted to get you the model to review early .
a good example that i am talking about is on the tab " longterm 9 " . this is
the kingsgate to malin deal that we worked on previously .
please give me ( or greg couch ) a call with any questions .
thanks .
ken
3 - 7009
- - - - - - - - - - - - - - - - - - - - - - forwarded by kenneth shulklapper / hou / ect on 08 / 07 / 2000
10 : 58 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron north america corp .
from : victor guggenheim 08 / 07 / 2000 10 : 54 am
to : kenneth shulklapper / hou / ect @ ect
cc :
subject : transport model