Message-ID: <23871532.1075849660250.JavaMail.evans@thyme>
Date: Fri, 16 Mar 2001 07:49:00 -0800 (PST)
From: paulo.issler@enron.com
To: john.griffith@enron.com
Subject: Basis Swpation
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John:
I think I like the approach you took in your first spreadsheet. Note that the 
spread option model takes rates expressed as continious rates. That is not 
consistent with the rates we have on our AA curves.
I suggest you change to your original valuation.
Thanks
Paulo Issler