Message-ID: <32901870.1075856533683.JavaMail.evans@thyme> Date: Thu, 7 Dec 2000 07:52:00 -0800 (PST) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: Re: implementation of smothing algorithm for forward forward volatilities calculation Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_4\Notes Folders\'sent mail X-Origin: Kaminski-V X-FileName: vkamins.nsf Review for Tue. ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/07/2000 03:57 PM --------------------------- Tanya Tamarchenko 12/07/2000 03:54 PM To: Wenyao Jia/HOU/ECT@ECT cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Naveen Andrews/Corp/Enron@ENRON, Vince J Kaminski/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT Subject: Re: implementation of smothing algorithm for forward forward volatilities calculation Winston, I am sending you the documentation on the new methodology for creating ffvols from implied vols. This methodology requires some minimization procedure to fit the given vol curve with a smoothing function. I am sending you the code I wrote that performs minimization with simulated annealing method from Numerical Recipes. We might need to discuss some details. Please, let me know if you have questions. Tanya.