re : ff vols from historical fwd price curves winston ,
i am sending you ffd vol curves which are calculated based on 1 month ( 18
log - returns )
of data with 0 . 97 decay factor . these vols give $ 3 . 14 m in var for
storage - prc ( versus 3 . 37 in production
for 5 / 30 / 00 ) .
tell me what i need to change in the format so that it is convenient for you .
tanya
re : ff vols from historical fwd price curves
winston ,
i am sending you ffd vol curves which are calculated based on 1 month ( 18
log - returns )
of data with 0 . 97 decay factor . these vols give $ 3 . 14 m in var for
storage - prc ( versus 3 . 37 in production
for 5 / 30 / 00 ) .
tell me what i need to change in the format so that it is convenient for you .
tanya