Subject: Power PortCalc Production Release 10/18/2001 Version 4.2.0
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked]
Date: Thu, 18 Oct 2001 20:14:12 -0700 (PDT)

Dear All,

	A new PortCalc executable has been copied to the production environment with the default name ( pwrcalc_slr). 

	The old executables have been renamed to pwrcalc_slr.old    and    pwrcalc_slr.old_4191     respectively.

	Please make a trial run with today's Production PortCalc release before the actual final run. 

	New Production PortCalc	: version 4.2.0	:	/prod/egs-home/ermt/bin/pwrcalc_slr

	[ Change settings in menu    Tools |  Set PortCalc EXE     :

		Choosing  "default ( same as Database)" will utilize the new executable.

	]

	Old Production PortCalc	: version 4.1.9	:	/prod/egs-home/ermt/bin/pwrcalc_slr.old

	Old Prod Fix PortCalc	: version 4.1.9.1	:	/prod/egs-home/ermt/bin/pwrcalc_slr.old_4191

	Please let us know if the new production does not work for you.

	This release is based on the Stage release 4.2.0s2 issued on 09/27/2001 with the following changes:

	New Features:

Changes Affecting All:

Asian strip.  

	Part I:

Average period more than 1:  curve values are used to calculate the average settlement price for the settled days when settlement price is not yet available.

Average period equals 1: removed a change ( for average period greater than 1 ) that had unexpectedly increased the 2nd order.

Part II:

For Asian option consisting of more than one average period:

Updated the option library so that results tie up with the latest Exotica,  theta in particular.
Prior day results tie up.
A fix on curve shift approved by the Research Group, 2nd order is reasonable now.
Fixed the problem that the option value in front end did not match ad-hoc.
Fixed the value at risk table so that RAC can match ad-hoc.
Fixed the interest rate for option evaluation as that of the expiry date. Fixed the volatility smile.

Index option.

	Part I:

Enable scenario sensitivity calculation for index option.  ( Feature was available in 4.2.0s1.)

Part II:

This version handles the case when the delivery point is in a different region from the settlement price region.    Two things that are not handled in this version : cases when delivery point is in the same region as the settlement price region; and sensitivity scenarios.

Post ID is now stored in the adhoc table.

Changes Affecting Australia:

Curve read even if it is a holiday.

	Please let us know if you have any questions or concerns.

	Thanks,

Norman.
x36976

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