Message-ID: <18041053.1075856641621.JavaMail.evans@thyme>
Date: Tue, 9 Jan 2001 11:57:00 -0800 (PST)
From: zhiyong.wei@enron.com
To: tanya.tamarchenko@enron.com
Subject: Re: real time VAR
Cc: nilay.basu@enron.com, wenyao.jia@enron.com, vince.kaminski@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: nilay.basu@enron.com, wenyao.jia@enron.com, vince.kaminski@enron.com
X-From: Zhiyong Wei
X-To: Tanya Tamarchenko
X-cc: Nilay Basu, Wenyao Jia, Vince J Kaminski
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Tanya,

Thank you for the information. I agree that we need to talk about more what 
and how Global Valuation can facilitate a more competitive VAR engine. 
Winston and Nilay are going to give my group a presentation regarding the 
current VAR system next Tuesday. I am sure the presentation will help my team 
better understand the requirements of VAR engine on Global Valuation. Please 
join us if you have the time. I would also appreciate your insight on this 
matter.

Thanks

Zhiyong




Tanya Tamarchenko
01/08/2001 11:09 AM
To: Zhiyong Wei/HOU/ECT@ECT, Nilay Basu/HOU/ECT@ECT, Wenyao Jia/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT 
Subject: Re: real time VAR  

Ziyong,
we met with Nilay and Winston last week regarding real time VAR calculation 
possibility.

Winston has an overview of VAR System which consists of:
- Main Curves Simulation;
- Curve Server;
- Book Server;
- ID Server
- Clients

As a first step I want to see where the time is spent when VAR runs, which 
percentages of time are spent by each part.
Nilay is going to get this information for a few portfolios (AGG-ECT, AGG-GAS 
and NG-PRICE-PRC).
Preliminary information: currently VAR run takes about 1 hour, half of this 
time taken by "Book Server" 
(we have about 4500 lower level portfolios in the portfolio hierarchy, about 
5500 portfolios all together), 
most of the rest is taken by "Clients", "Main Curves Simulation" does not 
take much time.

I am looking also at using alternative methods of faster VAR calculation, but 
having so many portfolios in the hierarchy will slow down
even analytical VAR.

We also have to think more about what "real time"  calculation means and what 
it should produce.

Tanya