Subject: updated skew file
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Thu, 10 May 2001 11:36:00 -0700 (PDT)

John,

This is the latest skew calculator file.  It has a sheet for the vol skew table, and it calculates the ENA pdf using a linear interpolation between points on the table, not a polynomial.  

The file shows yesterday's settle data for Jun, and ENA data matches very well.  (All the 2001 contracts agree closely with ENA data from yesterday, in fact.)  I've added a macro that fetches the underlying price, volatility, and interest rate from our in-house EGSPROD32 database.  Let me know if this doesn't work for you.

Feel free to contact any of us if you have any questions or requests regarding this file.  hope it is helpful.

ken