Subject: Historical Correlation Calculator
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Thu, 25 Oct 2001 16:27:29 -0700 (PDT)

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