Message-ID: <32343020.1075841233245.JavaMail.evans@thyme> Date: Thu, 18 Oct 2001 20:14:12 -0700 (PDT) From: norman.lee@enron.com To: w..white@enron.com, casey.evans@enron.com, wayne.vinson@enron.com, paul.lewis@enron.com, andrea.dahlke@enron.com, tim.carter@enron.com, hai.chen@enron.com, israel.estrada@enron.com, warrick.franklin@enron.com, kori.loibl@enron.com, errol.mclaughlin@enron.com, frank.prejean@enron.com, jay.vandenberg@enron.com, kenneth.lee@enron.com, yi.yan@enron.com, kathy'.'reeves@enron.com, glenn.rogers@enron.com, john.postlethwaite@enron.com, fran.chang@enron.com, heather.dunton@enron.com, samantha.law@enron.com, nicholas.warner@enron.com, karin.williams@enron.com, ryan.dusek@enron.com Subject: Power PortCalc Production Release 10/18/2001 Version 4.2.0 Cc: dave.nommensen@enron.com, zhiyun.yang@enron.com, derek.anderson@enron.com, norman.lee@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: dave.nommensen@enron.com, zhiyun.yang@enron.com, derek.anderson@enron.com, norman.lee@enron.com X-From: Lee, Norman X-To: White, Stacey W. , Evans, Casey , Vinson, Donald Wayne , Lewis, Jon Paul , Dahlke, Andrea , Carter, Tim , Chen, Hai , Estrada, Israel , Franklin, Warrick , Loibl, Kori , McLaughlin Jr., Errol , Prejean, Frank , Vandenberg, Jay , Lee, Kenneth , Yan, Yi , 'Reeves, Kathy' , Rogers, Glenn , Postlethwaite, John , Chang, Fran , Dunton, Heather , Law, Samantha , Warner, Nicholas , Williams, Karin , Dusek, Ryan X-cc: Nommensen, Dave , Yang, Zhiyun , Anderson, Derek , Lee, Norman X-bcc: X-Folder: \ExMerge - McLaughlin Jr., Errol\Deleted Items X-Origin: MCLAUGHLIN-E X-FileName: erol mclaughlin 6-26-02.PST 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