Message-ID: <14713721.1075840578928.JavaMail.evans@thyme> Date: Thu, 25 Oct 2001 16:27:29 -0700 (PDT) From: paulo.issler@enron.com To: bill.white@enron.com, mario.de@enron.com, john.griffith@enron.com, eric.moon@enron.com, santiago.garcia@enron.com, mark.breese@enron.com Subject: Historical Correlation Calculator Cc: pinnamaneni.krishnarao@enron.com, bob.lee@enron.com, rakesh.bharati@enron.com, tanya.tamarchenko@enron.com, j.kaminski@enron.com, zimin.lu@enron.com, vasant.shanbhogue@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: pinnamaneni.krishnarao@enron.com, bob.lee@enron.com, rakesh.bharati@enron.com, tanya.tamarchenko@enron.com, j.kaminski@enron.com, zimin.lu@enron.com, vasant.shanbhogue@enron.com X-From: Issler, Paulo X-To: White, Bill , De La Ossa, Mario , Griffith, John , Moon, Eric , Garcia, Santiago , Breese, Mark X-cc: Krishnarao, Pinnamaneni , Lee, Bob , Bharati, Rakesh , Tamarchenko, Tanya , Kaminski, Vince J , Lu, Zimin , Shanbhogue, Vasant X-bcc: X-Folder: \ExMerge - Griffith, John\Market X-Origin: GRIFFITH-J X-FileName: john griffith 6-25-02.PST I finished a spreadsheet for calculating historical correlations on forward curves. It gives the correlation matrix for contracts going out an arbritary number of months out. I think it might be a handy tool for some of you. You may get that on O:\RESEARCH\CUSTOM\CORRELMATRIX\ It demands that you have access to our EGSPROD32 database. You must have that configured in your ODBC. It is a large spreadsheet, so it may take some computing resorces. Let me know if you find any problem. Thanks. Paulo Issler