re : primary curves missing from factor loading tanya ,
we are very close to generating factors for all primary curves . jin almost
get it done .
but we are still waiting on the expiration dates for those london curves . if
anyone can help , please help .
also , we have some curves that don ' t have futures . how to decide these
curves ' s expiration dates ?
matthew adams helped us deciding many curves expiration rules . but there are
still many primary curves that don ' t have expiration dates .
if no expiration dates , then there will be no factor loadings . whoever wants
to generate factor loadings then give us the expiration dates first ! : )
winston
tanya tamarchenko
09 / 21 / 2000 09 : 00 am
to : bjorn hagelmann / hou / ect @ ect , wenyao jia / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect , rodrigo
lamas / lon / ect @ ect , xochitl figueroa / na / enron @ enron , manfred
roenz / corp / enron @ enron , christian lebroc / corp / enron @ enron , bjorn
hagelmann / hou / ect @ ect , homan amiry / lon / ect @ ect , naveen
andrews / corp / enron @ enron
subject : re : primary curves missing from factor loading
bjorn ,
you are absolutely right that we should run the factors for every primary
curve .
it has been working for a while on this .
the problem is data , as always ( missing price curves , zero prices , not
changing prices , etc . )
most of these problems come from london curves , so winston and jin yu are
debugging the code ,
fixing the problems for every curve .
winston ,
do you think we are ready to calculate factors for us curves ? ( while continue
working on the rest ) .
tanya
from : bjorn hagelmann
09 / 20 / 2000 10 : 06 pm
to : tanya tamarchenko / hou / ect @ ect , naveen andrews / corp / enron @ enron
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect , rodrigo
lamas / lon / ect @ ect , xochitl figueroa / na / enron , manfred roenz / corp / enron ,
christian lebroc / corp / enron , bjorn hagelmann / hou / ect @ ect , homan
amiry / lon / ect @ ect
subject : re : primary curves missing from factor loading
tanya , naveen :
i am confused , i thought that when we identified primary curves they would
then have factors run against them . does this not distort what we are trying
to do with the primary and var ?
regards
bjorn h .
- - - - - - - - - - - - - - - - - - - - - - forwarded by bjorn hagelmann / hou / ect on 20 / 09 / 2000
21 : 57 - - - - - - - - - - - - - - - - - - - - - - - - - - -
xochitl figueroa @ enron
20 / 09 / 2000 18 : 16
to : manfred roenz / corp / enron @ enron , christian lebroc / corp / enron @ enron , homan
amiry / lon / ect @ ect
cc : bjorn hagelmann / hou / ect @ ect
subject : re : primary curves missing from factor loading
i am in the same situation as manfred . i have one primary curve for southern
cone gas and one for southern cone power and i am not getting factors for
either . for my power curves i am getting wti factors and for gas i am
getting ng factors .
but i do agree with you manfred , i think all the primary curves should have
their own factor loadings .
xochitl
manfred roenz
09 / 20 / 2000 05 : 33 pm
to : christian lebroc / corp / enron @ enron , xochitl figueroa / na / enron @ enron , homan
amiry / lon / ect @ ect
cc : bjorn hagelmann / hou / ect @ ect
subject : re : primary curves missing from factor loading
christian ,
at least you have 2 curves that you get factors for . i get none . i have
four primary curves for coal but factors from nbsk are used . in emissions i
have one primary curve but wti factors are used . i think all the primary
curves should have their own factor loadings . xochitl , what factors are used
for your primary curves ?
manfred
from : christian lebroc 09 / 20 / 2000 11 : 28 am
to : homan amiry / lon / ect @ ect , manfred roenz / corp / enron @ enron , xochitl
figueroa / na / enron @ enron
cc : bjorn hagelmann / hou / ect @ ect
subject : primary curves missing from factor loading
i was in the process of setting up sunil ' s template for calculating
co - variance on all liquids primary curves using the " factor loading " data .
unfortunately , i did not get very far , because i noticed that the factor
loading table contains only 2 ( wti & hu ) out of 13 liquids primary curves . i
am concern that liquids var could conceivably be over or understated due to
the absence of 11 other curves which are listed below . please verify your
perspective commodity desk on this issue .
61 ny
brent
c 2 gc
c 3 gc
c 5 xt
condensate
dubaicrude
ic 4
mtbe
nc 4
nxho
christian
re : primary curves missing from factor loading
tanya ,
we are very close to generating factors for all primary curves . jin almost
get it done .
but we are still waiting on the expiration dates for those london curves . if
anyone can help , please help .
also , we have some curves that don ' t have futures . how to decide these
curves ' s expiration dates ?
matthew adams helped us deciding many curves expiration rules . but there are
still many primary curves that don ' t have expiration dates .
if no expiration dates , then there will be no factor loadings . whoever wants
to generate factor loadings then give us the expiration dates first ! : )
winston
tanya tamarchenko
09 / 21 / 2000 09 : 00 am
to : bjorn hagelmann / hou / ect @ ect , wenyao jia / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect , rodrigo
lamas / lon / ect @ ect , xochitl figueroa / na / enron @ enron , manfred
roenz / corp / enron @ enron , christian lebroc / corp / enron @ enron , bjorn
hagelmann / hou / ect @ ect , homan amiry / lon / ect @ ect , naveen
andrews / corp / enron @ enron
subject : re : primary curves missing from factor loading
bjorn ,
you are absolutely right that we should run the factors for every primary
curve .
it has been working for a while on this .
the problem is data , as always ( missing price curves , zero prices , not
changing prices , etc . )
most of these problems come from london curves , so winston and jin yu are
debugging the code ,
fixing the problems for every curve .
winston ,
do you think we are ready to calculate factors for us curves ? ( while continue
working on the rest ) .
tanya
from : bjorn hagelmann
09 / 20 / 2000 10 : 06 pm
to : tanya tamarchenko / hou / ect @ ect , naveen andrews / corp / enron @ enron
cc : vince j kaminski / hou / ect @ ect , kirstee hewitt / lon / ect @ ect , rodrigo
lamas / lon / ect @ ect , xochitl figueroa / na / enron , manfred roenz / corp / enron ,
christian lebroc / corp / enron , bjorn hagelmann / hou / ect @ ect , homan
amiry / lon / ect @ ect
subject : re : primary curves missing from factor loading
tanya , naveen :
i am confused , i thought that when we identified primary curves they would
then have factors run against them . does this not distort what we are trying
to do with the primary and var ?
regards
bjorn h .
- - - - - - - - - - - - - - - - - - - - - - forwarded by bjorn hagelmann / hou / ect on 20 / 09 / 2000
21 : 57 - - - - - - - - - - - - - - - - - - - - - - - - - - -
xochitl figueroa @ enron
20 / 09 / 2000 18 : 16
to : manfred roenz / corp / enron @ enron , christian lebroc / corp / enron @ enron , homan
amiry / lon / ect @ ect
cc : bjorn hagelmann / hou / ect @ ect
subject : re : primary curves missing from factor loading
i am in the same situation as manfred . i have one primary curve for southern
cone gas and one for southern cone power and i am not getting factors for
either . for my power curves i am getting wti factors and for gas i am
getting ng factors .
but i do agree with you manfred , i think all the primary curves should have
their own factor loadings .
xochitl
manfred roenz
09 / 20 / 2000 05 : 33 pm
to : christian lebroc / corp / enron @ enron , xochitl figueroa / na / enron @ enron , homan
amiry / lon / ect @ ect
cc : bjorn hagelmann / hou / ect @ ect
subject : re : primary curves missing from factor loading
christian ,
at least you have 2 curves that you get factors for . i get none . i have
four primary curves for coal but factors from nbsk are used . in emissions i
have one primary curve but wti factors are used . i think all the primary
curves should have their own factor loadings . xochitl , what factors are used
for your primary curves ?
manfred
from : christian lebroc 09 / 20 / 2000 11 : 28 am
to : homan amiry / lon / ect @ ect , manfred roenz / corp / enron @ enron , xochitl
figueroa / na / enron @ enron
cc : bjorn hagelmann / hou / ect @ ect
subject : primary curves missing from factor loading
i was in the process of setting up sunil ' s template for calculating
co - variance on all liquids primary curves using the " factor loading " data .
unfortunately , i did not get very far , because i noticed that the factor
loading table contains only 2 ( wti & hu ) out of 13 liquids primary curves . i
am concern that liquids var could conceivably be over or understated due to
the absence of 11 other curves which are listed below . please verify your
perspective commodity desk on this issue .
61 ny
brent
c 2 gc
c 3 gc
c 5 xt
condensate
dubaicrude
ic 4
mtbe
nc 4
nxho
christian