Subject: Historical Curve Databases & Historical FF Vols
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked]
Date: Mon, 24 Jul 2000 13:18:00 -0700 (PDT)

Dear all,

As promised, I cleaned up the data and put it into 6 spreadsheet files (we 
will do Gold and cocoa separately).  I also ran 10, 20, 30 and 60 day fwd fwd 
volatility calculations based on historical log return data - you can see the 
results at the bottom of the sheet called "Log Returns" for each of the six 
spreadsheets attached below.

The data in the files is ready for PCA analysis.  We can use either the fwd 
fwd vols from recent history or implied option quotes to complete the 
analysis.

Regards,

Anjam

P.S. We have already done the PCA on ALUMINUM H (high grade, so please don't 
repeat the analysis for that one)

FINAL FILES:

Al_h: