Message-ID: <25791176.1075856643419.JavaMail.evans@thyme> Date: Mon, 5 Jun 2000 06:26:00 -0700 (PDT) From: tanya.tamarchenko@enron.com To: wenyao.jia@enron.com, grant.masson@enron.com Subject: Re: FF vols from historical fwd price curves Cc: vince.kaminski@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com X-From: Tanya Tamarchenko X-To: Wenyao Jia, Grant Masson X-cc: Vince J Kaminski X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var X-Origin: Kaminski-V X-FileName: vkamins.nsf Winston, I am sending you FFD vol curves which are calculated based on 1 month (18 log-returns) of data with 0.97 decay factor. These vols give $3.14 M in VAR for STORAGE-PRC (versus 3.37 in production for 5/30/00). Tell me what I need to change in the format so that it is convenient for you. Tanya