Message-ID: <7153932.1075861399653.JavaMail.evans@thyme>
Date: Thu, 25 Oct 2001 11:22:25 -0700 (PDT)
From: harry.arora@enron.com
To: iris.mack@enron.com
Subject: RE: Models
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X-From: Arora, Harry </O=ENRON/OU=NA/CN=RECIPIENTS/CN=HARORA>
X-To: Mack, Iris </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Imack>
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Iris

what is the difference between this spark spread function call and the one =
being used in the spreadsheets we use ?


Harry


 -----Original Message-----
From: =09Mack, Iris =20
Sent:=09Wednesday, October 24, 2001 10:34 AM
To:=09Danilov, Viacheslav; Issler, Paulo
Cc:=09Arora, Harry
Subject:=09FW: Models

 << File: CrackSpreadOptions.xls >>=20

Hi Slava,

=09Paulo says you have some questions about what we're doing with spark spr=
eads.

=09He did not give me any specifics as to what you needed.  Give me at call=
 at X3-6711 for more details.

=09In the mean time, I have been developing exotic options modules/tutorial=
s for the power trading floor.  One of the modules is on spark spreads  - p=
lease see attached file.

=09
Regards,
Iris





 -----Original Message-----
From: =09Issler, Paulo =20
Sent:=09Wednesday, October 24, 2001 10:26 AM
To:=09Mack, Iris
Cc:=09Danilov, Viacheslav
Subject:=09FW: Models


Iris:
I think you are the expert on how we are trading spark spreads (if we are d=
oing any). Slava wants to know more about it. I appreciate if you contact h=
im directly.=20
Many Thanks.
Paulo Issler

 -----Original Message-----
From: =09Danilov, Viacheslav =20
Sent:=09Tuesday, October 23, 2001 2:05 AM
To:=09Issler, Paulo
Subject:=09RE: Models

Paulo,

thank you very much.=20
we will look at all your work.

just to remind you on spark spread options.

many thanks,

Slava


 -----Original Message-----
From: =09Issler, Paulo =20
Sent:=0923 October 2001 01:00
To:=09Danilov, Viacheslav
Subject:=09Models

Slava:
Here are the files related to the models I mentioned in our phone coversati=
on.

FwdFwd Vols:

Here is a spreadshet implementing a technique for calculating fwd fwd volat=
ilities for seasonal vol curves. The approach avoids the issue of geting ne=
gative fwd fwd variances when using the traditional approach. It makes nece=
ssary, however, to develop a specific fwd fwd vol curve for each contract m=
onth.=20

Here is how it works:
=091) Create a variance curve: Var =3D vol*vol*(Ti-t)
=092) Fit a desoasonalized curve with functional form: y =3D a*(tb)?=093) c=
alculate fwd-fwd variances for the desoasonal curve:?=094) Calculate fwd-fw=
d vols for each month by multiplying the ?=09    fwd-fwd variance curve by =
a factor equal to:?=09=09=09SQRT(Var(Contract Month)/Var(fit))??? << File: =
FwdFwd.xls >> ?I implemented a C code for calculating that. This, with the =
omicron vols may be used to model the gas curve evolution in a HJM framewor=
k.?? << File: fwdfwd.c >>  << File: FwdFwdw.c >> ??Swing Options:?Here is t=
he code and documentation for the swing option:?? << File: XLCALL32.LIB >> =
 << File: bico.c >>  << File: factln.c >>  << File: FRAMEWRK.C >>  << File:=
 FRAMEWRK.H >>  << File: FSSwing.c >>  << File: FSSwingOpt.c >>  << File: F=
XSwing.c >>  << File: FXSwingOpt.c >>  << File: gammln.c >>  << File: Inter=
polate.c >>  << File: nrutil.c >>  << File: nrutil.h >>  << File: SwingOpt.=
def >>  << File: SwingOptW.c >>  << File: SwingW.c >>  << File: XLCALL.H >>=
  << File: Bdt.c >>  << File: Swing Model.doc >> ?Here are the spreadshets =
examples:?? << File: FSSwingOpt.xls >>  << File: FXSwingOpt.xls >> ?LookBac=
k:?Here is my implementation for the lookback option with fixed strike. It =
uses an analytical solution in which prices are sampled continiously over t=
ime. It still provides a good approximation for a discrete daily sampling:?=
? << File: XLCALL32.LIB >>  << File: Cumnorm.c >>  << File: framewrk.c >>  =
<< File: framewrk.h >>  << File: FxLKBK.c >>  << File: FxLKBK.def >>  << Fi=
le: Integration.c >>  << File: lkbkTEST.xls >>  << File: nrutil.c >>  << Fi=
le: nrutil.h >>  << File: put.c >>  << File: xFxLKBK.c >>  << File: XLCALL.=
H >>  << File: call.c >> ?Let me know if you got them all.?Give me a call w=
ith your questions/concerns.?Thanks.?Paulo Issler?