Message-ID: <32238026.1075849661580.JavaMail.evans@thyme>
Date: Tue, 10 Apr 2001 08:55:00 -0700 (PDT)
From: jeremy.wong@enron.com
To: john.griffith@enron.com
Subject: Option Questions
Cc: francis.lim@enron.com, karima.husain@enron.com, errol.mclaughlin@enron.com
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John:

(1) Regarding OptionGrid, Samer can provide you a version that does not write 
out empty grids to the file by tomorrow.  He will then try to increase the 
max. number of grids from 95 to 320.  And we will write the file to a common 
drive that you can access from Windows, without having to FTP the file from 
the Unix to the NT drive.

I will check with my director (Zhiyong Wei) to see if we can move up the 
timeline for the OptionGrid running on Windows project.

(2) Regarding actual gamma: 

PriceDelta = Today's Mid. Price - Prior Day's Mid. Price

Actual delta     = Prior Day's (Option Library) delta * PriceDelta
Actual gamma = Prior Days' (Option Library) gamma * 0.5 * (PriceDelta * 
PriceDelta)

(3) Regarding the Asian model, the number of calendar days in a year is 
365.25 for the new version using calendar days.
We have to merge the new version into the current production PortCalc that 
has the vol. skew changes.  We should have that in a couple of days. I will 
inform Errol when we are ready for him to start testing.

(4) Dave is looking into changing PortCalc to provide 2 actual Vegas - one 
without skew and one with skew.
From our preliminary analysis, it would require PortCalc, database and report 
changes to do this.
Would you also require 2 predictive Vegas and also sensitivities (i.e. +/- 1, 
2.5, 5 or 10 % vol.) changes also?

Jeremy
x3-0573