Message-ID: <20017845.1075840780169.JavaMail.evans@thyme> Date: Mon, 14 May 2001 15:46:45 -0700 (PDT) From: erin@fea.com To: j.kaminski@enron.com Subject: FEA announces the release of @Energy 2.1. Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: "Erin Hopkins" @ENRON X-To: Kaminski, Vince J X-cc: X-bcc: X-Folder: \vkamins\Consultants X-Origin: KAMINSKI-V X-FileName: vincent kaminski 1-30-02.pst 05/14/2001 Enron North America Corp. Vince Kaminski 1400 Smith Street 30th Floor, Rm. 3036B Houston, TX 77251-1188 1 713-853-3848 Dear Vince Kaminski, This is to inform you of the release of @Energy2.1. FTP download instructions are available immediately. The download instructions are included at the end of this email. Please see below for more information regarding this new release.. FEA is pleased to enclose your new version of @ENERGY/ErgLib. The accompanying documentation contains installation and other information. Here is an overview of the new and changed features since Version 2.0. @ENERGY (Forward Curve) No change. @ENERGY (Basics) A control variate methodology Hull (1997) has been implemented for valuation of American options (OPT), Black and Mean-reverting models. It greatly improves accuracy at minimal cost in speed. All models now supports new scalar risk measures corresponding to parallel displacement delta, hedge, and gamma. Average price/strike options now support an alternative way of computing theta. The definition of Gamma curves has been modified for all models. @ENERGY (Advanced) A faster and more accurate methodology is used to value spread options. Models affected are SPREADOPT, STRIPSPREADOPT, OPTSPREADOPT, OPTSTRIPSPREADOPT. The new methodology dramatically improves speed. All models now supports new scalar risk measures corresponding to parallel displacement delta, hedge, and gamma. Average price/strike options now support an alternative way of computing theta. The definition of Gamma curves has been modified for all models. @ENERGY (Swing) The definition of Gamma curves has been modified for all models. @ENERGY (Weather) No change. See the file fea\energy\ergnote.txt in your distribution for a list of bug fixes. Here is an overview of the new and changed features since Version 1.6. @ENERGY (Forward Curve) Jump parameters are now calibrated for use in other @ENERGY functions. Inputs and outputs to POWERCALIB and COMCALIB have changed. See the corresponding function syntax in the User Guide for additional information. 35-40% speed improvement. The module is now out of beta. @ENERGY (Basics) Different interpolation schemes on forward prices are now supported. If you use INDEXSWAP , EXOTICSWAP, or OPTINDEXSWAP with floating price linked to a series of futures dates, such futures dates need not be close to dates specified in the forward curve input. A new utility function, PATHUTIL, allows you to simulate and visualize price paths consistent with the models supported by @ENERGY. 25-30% speed improvement. @ENERGY (Advanced) Different interpolation schemes on forward prices are now supported. If you use OPTDIFFSWAP or DIFFSWAP with floating price linked to a series of futures dates, such futures dates need not be close to dates specified in the forward curve input. CALSPREADOPT now allows for the specification of two different mean reversion rates. 30-35% speed improvement. @ENERGY (Swing) SWINGOPT and STRIPSWINGOPT now allow for valuation of swing straddle contracts with overall load constraints. 65-70% speed improvement. The module is now out of beta. @ENERGY (Weather) 30-35% speed improvement. See the file fea\energy\ergnote.txt in your distribution for a list of bug fixes. If you are a user of the ErgLib library, please be aware of possible backward compatibility issues in calls to Eapo, Easo, Espreadapo, Espreadaso, and Ecrackapo. See fea\energy\ergnote.txt for additional details. Here is an overview of the new and changed features since Version 1.5. @ENERGY (Basics) European options and strips of European options now support valuation via a jump diffusion model (see OPT and STRIPOPT functions). Average price options (see the APO, SPREADAPO, CRACKAPO functions), and average strike options (see the ASO, SPREADASO functions) now allow for a direct input of the fixing dates. @ENERGY (Advanced) Includes two new functions, OPTSTRIPOPT and OPTSTRIPSPREADOPT for valuation of complex compound options. If you are a user of the ErgLib library, please be aware of backward compatibility issues in calls to Eapo, Easo, Espreadapo, Espreadaso, and Ecrackapo. See fea\energy\ergnote.txt for additional details. Here is an overview of the new and changed features since Version 1.4. @ENERGY (Forward Curve) @ENERGY (Forward Curve) is the new module which includes functions designed to generate forward curves, volatility curves and mean reversion rates used in many other @ENERGY functions. Module in beta release. @ENERGY (Basics) APO's and ASO's: bug fixed when avg_starts < opt_expiry, and num_fixings=1. @ENERGY (Advanced) No change. @ENERGY (Weather) Additional ways of formatting the temperature data are now provided. @ENERGY (Swing) Pay_at_end with strips: previously implemented was pay at end of all periods. Now implemented is pay at end of each subperiod. . Module still in beta release. Bug fixes: 1) if max_const=min_const and max_const in not a multiple of the maximum daily amount (in previous version min_const was disregarded in this case). 2) in strip with global constraints: if allowed number of swings per period changes (currently this can only be due to calendar effects). 3) strip at index: index was incorrectly evaluated after first sub_period. New Excel Templates The following Excel workbooks and worksheets have been added: powercalib.xls examples of generating @ENERGY parameters for power. Add-in Manager Now supports function help. If template is open with the Add-in manager and function help is requested through the manager, the relevant portion of the documentation get displayed. Your input into the refinement of this product is welcome and greatly appreciated. Any comments or suggestions may be sent to support@fea.com To download @ENERGY via FTP, follow these instructions: NOTE: Using EXPLORER leads to unpredictable results, so we suggest using NETSCAPE or a DOS shell. USING NETSCAPE: In the Location box type: ftp://energy@ftp.fea.com Password: ect9sq5h energy-2.1-win32.exe is for Excel 7, 97SR1 or 2000; for Windows 95/96/2000/NT/ME; download and run on a local drive. USING A DOS SHELL: At a DOS prompt type: ftp ftp.fea.com User: energy Password: ect9sq5h Type "binary" and hit 'return'. Type "ls" for a list of available files. Type "get" energy-2.1-win32.exe and and wait for the ftp> prompt. Type "quit". The file will be downloaded into the directory at which you entered the ftp site. Double click on the exe and follow the instructions on the screen. There is also a readme file which contains installation instructions. You may wish to print this out for easy reference. N.B.: The password is only valid until the first Friday of next month. If you have any questions please feel free to contact us. We appreciate this opportunity to be of continuing service to Enron North America Corp.. Regards, Erin Hopkins Administrative Assistant Financial Engineering Associtates, Inc. Tel: +1.510.548.6200 mailto:info@fea.com or mailto:support@fea.com